We study the two-dimensional motion of colloidal dimers by single-particle tracking and compare the experimental observations obtained by bright-field microscopy to theoretical predictions for anisotropic diffusion. The comparison is based on the mean-square displacements in the laboratory and particle frame as well as generalizations of the self-intermediate scattering functions, which provide insights into the rotational dynamics of the dimer. The diffusional anisotropy leads to a measurable translational-rotational coupling that becomes most prominent by aligning the coordinate system with the initial orientation of the particles. In particular, we find a splitting of the time-dependent diffusion coefficients parallel and perpendicular to the long axis of the dimer which decays over the orientational relaxation time. Deviations of the self-intermediate scattering functions from pure exponential relaxation are small but can be resolved experimentally. The theoretical predictions and experimental results agree quantitatively.