I only know how to do this non-interactively, and even then only with the 'PS' backend.
To do this, I would use Latex to format the text. Then I would include the 'color' package, and set your colors as you wish.
Here is an example of doing this:
import matplotlib
matplotlib.use('ps')
from matplotlib import rc
rc('text',usetex=True)
rc('text.latex', preamble='usepackage{color}')
import matplotlib.pyplot as plt
plt.figure()
plt.ylabel(r'extcolor{red}{Today} '+
r'extcolor{green}{is} '+
r'extcolor{blue}{cloudy.}')
plt.savefig('test.ps')
This results in (converted from ps to png using ImageMagick, so I could post it here):
与恶龙缠斗过久,自身亦成为恶龙;凝视深渊过久,深渊将回以凝视…