We study the thermal diffusion coefficient D{T} of a charged colloid in a temperature gradient, and find that it is to a large extent determined by the thermoelectric response of the electrolyte solution. The thermally induced salinity gradient leads in general to a strong increase with temperature. The difference of the heat of transport of coions and counterions gives rise to a thermoelectric field that drives the colloid to the cold or to the warm, depending on the sign of its charge. Our results provide an explanation for recent experimental findings on thermophoresis in colloidal suspensions.