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Spatial correlations of microscopic fluctuations are investigated via real-space experiments and computer simulations of colloidal glasses under steady shear. It is shown that while the distribution of one-particle fluctuations is always isotropic regardless of the relative importance of shear as compared to thermal fluctuations, their spatial correlations show a marked sensitivity to the competition between shear-induced and thermally activated relaxation. Correlations are isotropic in the thermally dominated regime, but develop strong anisotropy as shear dominates the dynamics of microscopic fluctuations. We discuss the relevance of this observation for a better understanding of flow heterogeneity in sheared amorphous solids.