The canonical van der Waerden theorem asserts that, for sufficiently large $n$, every colouring of $[n]$ contains either a monochromatic or a rainbow arithmetic progression of length $k$ ($k$-AP, for short). In this paper, we determine the threshold at which the binomial random subset $[n]_p$ almost surely inherits this canonical Ramsey type property. As an application, we show the existence of sets $A\subseteq [n]$ such that the $k$-APs in $A$ define a $k$-uniform hypergraph of arbitrarily high girth and yet any colouring of $A$ induces a monochromatic or rainbow $k$-AP.