The collectivity in the simultaneous diffusion of many particles, i.e. the interdependence of stochastic forces affecting different particles in the same solution, is a largely overlooked phenomenon with no well-established theory. Recently, we have proposed a novel type of thermodynamically consistent Langevin dynamics driven by the Spatially Correlated Noise (SCN) that can contribute to the understanding of this problem. This model draws a link between the theory of effective interactions in binary colloidal mixtures and the properties of SCN. In the current article we review this model from the perspective of collective diffusion and generalize it to the case of multiple (N > 2) particles. Since our theory of SCN-driven Langevin dynamics has certain issues that could not be resolved within its framework, in this article we also provide another approach to the problem of collectivity. We discuss the multi-particle Mori-Zwanzig model, which is fully microscopically consistent. Indeed, we show that this model supplies many information, complementary to the SCN-based approach, e.g. it predicts the deterministic dynamics of the relative distance between the particles, it provides the approximation for non-equilibrium effective interactions and predicts the collective subdiffusion of tracers in group. These results provide the short-range, inertial limit of the earlier model and agree with its predictions under some general conditions. In this article we also review the origin of SCN and its consequences for the variety of physical systems, with emphasis on the colloids.