We experimentally study the statistical properties of the energy fluxes between two trapped Brownian particles, interacting through dissipative hydrodynamic coupling, and submitted to an effective temperature difference ΔT, obtained by random forcing the position of one trap. We identify effective heat fluxes between the two particles and show that they satisfy an exchange fluctuation theorem in the stationary state. We also show that after the sudden application of a temperature gradient ΔT, the total hot-cold flux satisfies a transient exchange fluctuation theorem for any integration time, whereas the total cold-hot flux only does it asymptotically for long times.