Colloids with short range attractions self-assemble into sample-spanning structures, whose dynamic nature results in a thermokinematic memory of the deformation history, also referred to as "thixotropy." Here, we study the origins of the thixotropic effect in these time- and rate-dependent materials by investigating hysteresis across different length scales: from particle-level local measurements of coordination number (microscale), to the appearance of density and velocity fluctuations (mesoscale), and up to the shear stress response to an imposed deformation (macroscale). The characteristic time constants at each scale become progressively shorter, and hysteretic effects become more significant as we increase the strength of the interparticle attraction. There are also strong correlations between the thixotropic effects we observe at each scale.