We investigate the response of anisotropic colloids suspended in a fluid under a thermal field. Using nonequilibrium molecular dynamics computer simulations and nonequilibrium thermodynamics theory, we show that an anisotropic mass distribution inside the colloid rectifies the rotational Brownian motion and the colloids experience transient torques that orient the colloid along the direction of the thermal field. This physical effect gives rise to distinctive changes in the dependence of the Soret coefficient with colloid mass, which features a maximum, unlike the monotonic increase of the thermophoretic force with mass observed in homogeneous colloids.