We consider ergodic $\mathrm{Sym}(\mathbb{N})$-invariant probability measures on the space of $L$-structures with domain $\mathbb{N}$ (for $L$ a countable relational language), and call such a measure a properly ergodic structure when no isomorphism class of structures is assigned measure $1$. We characterize those theories in countable fragments of $\mathcal{L}_{ω_1, ω}$ for which there is a properly ergodic structure concentrated on the models of the theory. We show that for a countable fragment $F$ of $\mathcal{L}_{ω_1, ω}$ the almost-sure $F$-theory of a properly ergodic structure has continuum-many models (an analogue of Vaught's Conjecture in this context), but its full almost-sure $\mathcal{L}_{ω_1, ω}$-theory has no models. We also show that, for an $F$-theory $T$, if there is some properly ergodic structure that concentrates on the class of models of $T$, then there are continuum-many such properly ergodic structures.