The effective electrostatic interaction between a pair of colloids, both of them located close to each other at an electrolyte interface, is studied by employing the full, nonlinear Poisson-Boltzmann (PB) theory within classical density functional theory. Using a simplified yet appropriate model, all contributions to the effective interaction are obtained exactly, albeit numerically. The comparison between our results and those obtained within linearized PB theory reveals that the latter overestimates these contributions significantly at short inter-particle separations. Whereas the surface contributions to the linear and the nonlinear PB results differ only quantitatively, the line contributions show qualitative differences at short separations. Moreover, a dependence of the line contribution on the solvation properties of the two adjacent fluids is found, which is absent within the linear theory. Our results are expected to enrich the understanding of effective interfacial interactions between colloids.