We study, via extensive numerical simulations, dynamics of a crowded mixture of mutually interacting (with a short-range repulsive potential) colloidal particles immersed in a suspending solvent, acting as a heat bath. The mixture consists of a majority component - neutrally buoyant colloids subject to internal stimuli only, and a minority component - biased probes (BPs) also subject to a constant force. In such a system each of the BPs alters the distribution of the colloidal particles in its vicinity, driving their spatial distribution out of equilibrium. This induces effective long-range interactions and multi-tag correlations between the BPs, mediated by an out-of-equilibrium majority component, and prompts the BPs to move collectively assembling in clusters. We analyse the size-distribution of the self-assembling clusters in the steady-state, their specific force-velocity relations and also properties of the effective interactions emerging between the BPs.