We propose a molecular theory of colloid-wall interactions in nematic media that predicts a new effective force acting on colloidal particles in the presence of an external field. In contrast to the so-called 'image' interaction that is always repulsive at long distances, the force identified here can be attractive or repulsive, depending on the type of anchoring at the wall and colloidal surfaces. The effective force on a colloidal particle decreases with distance s from the wall as exp(-s/ξ), where ξ is a magnetic (electric) coherence length. At weak fields the force is proportional to (Σ/ξ)(3) for 'quadrupolar' colloids and to (Σ/ξ)(2) for 'dipoles', where Σ is the colloidal diameter. A brief discussion of recent experiments in the light of our findings is presented.