The dynamics of passive colloidal tracers in a bath of self-propelled particles is receiving a lot of attention in the context of nonequilibrium statistical mechanics. Here we demonstrate that active baths are also capable of mediating effective interactions between suspended bodies. In particular we observe that a bath of swimming bacteria gives rise to a short range attraction similar to depletion forces in equilibrium colloidal suspensions. Using numerical simulations and experiments we show how the features of this interaction arise from the combination of nonequilibrium dynamics (peculiar of bacterial baths) and excluded volume effects.