Characterization of spatiotemporal dynamics is of vital importance to soft matter systems far from equilibrium. Using a confocal laser scanning microscopy, we directly reveal three-dimensional motion of surface-modified particles in the electrohydrodynamic convection of a nematic liquid crystal. Particularly, visualizing a caterpillar-like motion of a self-assembled colloidal chain demonstrates the mechanism of the persistent transport enabled by the elastic, electric, and hydrodynamic contributions. We also precisely show how the particles' trajectory is spatially modified by simply changing the surface boundary condition.