Einstein realized that the fluctuations of a Brownian particle can be used to ascertain the properties of its environment. A large number of experiments have since exploited the Brownian motion of colloidal particles for studies of dissipative processes, providing insight into soft matter physics and leading to applications from energy harvesting to medical imaging. Here, we use heated optically levitated nanospheres to investigate the non-equilibrium properties of the gas surrounding them. Analysing the sphere's Brownian motion allows us to determine the temperature of the centre-of-mass motion of the sphere, its surface temperature and the heated gas temperature in two spatial dimensions. We observe asymmetric heating of the sphere and gas, with temperatures reaching the melting point of the material. This method offers opportunities for accurate temperature measurements with spatial resolution on the nanoscale, and provides a means for testing non-equilibrium thermodynamics.