When considering the hydrodynamics of Brownian particles, one is confronted to a difficult closure problem. One possibility to close the hierarchy of hydrodynamic equations is to consider a strong friction limit. This leads to the Smoluchowski equation that reduces to the ordinary diffusion equation in the absence of external forces. Unfortunately, this equation has infinite propagation speed leading to some difficulties. Another possibility is to make a Local Thermodynamic Equilibrium (L.T.E) assumption. This leads to the damped Euler equation with an isothermal equation of state. However, this approach is purely phenomenological. In this paper, we provide a preliminary discussion of the validity of the L.T.E assumption. To that purpose, we consider the case of free Brownian particles and harmonically bound Brownian particles for which exact analytical results can be obtained [S. Chandrasekhar, Rev. Mod. Phys. 15, 1 (1943)]. For these systems, we find that the L.T.E. assumption is not unreasonable and that it can be improved by introducing a time dependent kinetic temperature T kin (t) = ฮณ (t)T instead of the bath temperature T . We also compare hydrodynamic equations and generalized diffusion equations with time dependent diffusion coefficients.