We study in this work a dilute granular gas immersed in a thermal bath made of smaller particles with nonnegligible masses as compared with the granular ones. The kinetic theory for this system is developed and described by an Enskog--Fokker--Planck equation for the one-particle velocity distribution function. Granular particles are assumed to have inelastic and hard interactions, losing energy in collisions as accounted by a constant coefficient of normal restitution. The interaction with the thermal bath is based on a nonlinear drag force plus a white-noise stochastic force. To get explicit results of the temperature aging and steady states, Maxwellian and first Sonine approximations are developed. The latter takes into account the coupling of the excess kurtosis with the temperature. Theoretical predictions are compared with direct simulation Monte Carlo and event-driven molecular dynamics simulations. While good results for the granular temperature are obtained from the Maxwellian approximation, a much better agreement, especially as inelasticity and drag nonlinearity increase, is found when using the first Sonine approximation. The latter approximation is, additionally, crucial to account for memory effects like Mpemba and Kovacs-like ones.