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The understanding of the dynamics of nonequilibrium cooling and heating processes at the nanoscale is still an open problem. These processes can follow surprising relaxation paths due to, e.g., memory effects, which significantly alter the expected equilibration routes. The Kovacs effect can take place when a thermalization process is suddenly interrupted by a change of the thermostat, leading to a non-monotonic dependence of the energy of the system. Here, we demonstrate that the Kovacs effect can be observed in the thermalization of the center of mass motion of a levitated nanoparticle. The temperature is controlled during the experiment through an external source of white Gaussian noise that mimics an effective thermal bath at a temperature that can be changed faster than any relaxation time of the system. We describe our experiments in terms of the dynamics of a Brownian particle in a harmonic trap without any fitting parameter, suggesting that the Kovacs effect can appear in a large variety of systems.