We examine the origins of nonlocality in a nonisothermal hydrodynamic formulation of a one-component fluid of particles that exhibit long-range correlations, e.g., due to a spherically symmetric, long-range interaction potential. In order to furnish the continuum modeling with physical understanding of the microscopic interactions and dynamics, we make use of systematic coarse graining from the microscopic to the continuum level. We thus arrive at a thermodynamically admissible and closed set of evolution equations for the densities of momentum, mass, and internal energy. From the consideration of an illustrative special case, the following main conclusions emerge. There are two different source terms in the momentum balance. The first is a body force, which in special circumstances can be related to the functional derivative of a nonlocal Helmholtz free energy density with respect to the mass density. The second source term is proportional to the temperature gradient, multiplied by the nonlocal entropy density. These two source terms combine into a pressure gradient only in the absence of long-range effects. In the irreversible contributions to the time evolution, the nonlocal contributions arise since the self-correlations of the stress tensor and heat flux, respectively, are nonlocal as a result of the microscopic nonlocal correlations. Finally, we point out specific points that warrant further discussions.