In recent years the lattice Boltzmann (LB) methodology has been fruitfully extended to include the effects of thermal fluctuations. So far, all studied cases pertain to equilibrium fluctuations, i.e., fluctuations with respect to an equilibrium background state. In this paper we take a step further and present results of fluctuating LB simulations of a binary mixture confined between two parallel walls in the presence of a constant concentration gradient in the wall-to-wall direction. This is a paradigmatic setup for the study of nonequilibrium (NE) fluctuations, i.e., fluctuations with respect to a nonequilibrium state. We analyze the dependence of the structure factors for the hydrodynamical fields on the wave vector q in both the directions parallel and perpendicular to the walls, highlighting the long-range (∼|q|^{-4}) nature of correlations in the NE framework. Results at the small scales (high wave numbers) quantitatively agree with the predictions of fluctuating hydrodynamics without fitting parameters. At larger scales (low wave numbers), however, results show finite-size effects induced by confinement and call for further studies aimed at controlling boundary conditions in the fluctuating LB framework as well as compressibility effects. Moreover, in the presence of a nonideal equation of state of the mixture, we also observe that the (spatially homogeneous) average pressure changes, due to a genuinely new contribution triggered by NE fluctuations. These NE pressure effects are studied at changing the system size and the concentration gradient. Taken all together, we argue that the results of this article are useful and instrumental to boost the applicability of the fluctuating LB methodology in the framework of NE fluctuations, possibly in conjunction with experiments.