We present the first direct depletion potential measurements for a single colloidal sphere close to a wall in a suspension of rigid colloidal rods. Since all particle interactions are as good as hard-core-like, the depletion potentials are of entirely entropic origin. We developed a density functional theory approach that accurately accounts for this experimental situation. The depletion potentials calculated for different rod number densities are in very good quantitative agreement with the experimental results.