AbstractThe dynamics of an overdamped Brownian particle in a thermal bath that contains a dilute solution of active particles is studied. The particle moves in a harmonic potential and experiences Poisson shot‐noise kicks with specified amplitude distribution due to moving active particles in the bath. From the Fokker–Planck equation for the particle dynamics, the stationary solution for the displacement distribution is derived along with the moments characterizing mean, variance, skewness, and kurtosis, as well as finite‐time first and second moments. An effective temperature is also computed through the fluctuation–dissipation theorem and show that equipartition theorem holds for all zero‐mean kick distributions, including those leading to non‐Gaussian stationary statistics. For the case of Gaussian‐distributed active kicks, a re‐entrant behavior from non‐Gaussian to Gaussian stationary states and a heavy‐tailed leptokurtic distribution across a wide range of parameters are found as seen in recent experimental studies. Further analysis reveals statistical signatures of the irreversible dynamics of the particle displacement in terms of the time asymmetry of cross‐correlation functions. Fruits of the work is the development of an compact inference scheme that may allow experimentalists to extract the rate and moments of underlying shot‐noise solely from the statistics the particle position.