Experimental evidence is presented for the spontaneous formation of chiral configurations in bulk dispersions of magnetized colloids that interact by a combination of anisotropic dipolar interactions and isotropic depletion attractions. The colloids are superparamagnetic silica spheres, magnetized and aligned by a carefully tuned uniform external magnetic field; isotropic attractions are induced by using poly(ethylene oxide) polymers as depleting agents. At specific polymer concentrations, sphere chains wind around each other to form helical structures–of the type that previously have only been observed in simulations on small sets of unconfined dipolar spheres with additional isotropic interactions.