An analysis is made of the effects on the diffusion of Brownian particles whose Knudsen number is large compared to unity, of nonuniformities in the host gas. As examples, in one type of nonuniformity of the host gas, the Chapman-Enskog velocity distribution function for the gas molecules is used; in the other, the host gas is a free-molecule Couette flow. In both cases, a new force on the Brownian particles appears. Two techniques are used (extending Kramers' method and utilizing the Chapman-Enskog method) to transform the new Fokker-Planck equation into generalized Smoluchowski and convective diffusion equations. In these equations, the diffusion coefficient appears as a second-order tensor. Thus, it is demonstrated that Brownian diffusion in a nonuniform gas is anisotropic.