We present adaptive optics photometry and spectra in the JHKL bands along with high spectral resolution K-band spectroscopy for each component of the Z Canis Majoris system. Our high angular resolution photometry of this very young (≲1 Myr) binary, comprised of an FU Ori object and a Herbig Ae/Be star, was gathered shortly after the 2008 outburst while our high-resolution spectroscopy was gathered during a quiescent phase. Our photometry conclusively determines that the outburst was due solely to the embedded Herbig Ae/Be member, supporting results from earlier works, and that the optically visible FU Ori component decreased slightly (∼30%) in luminosity during the same period, consistent with previous works on the variability of FU Ori type systems. Further, our high-resolution K-band spectra definitively demonstrate that the 2.294 μm CO absorption feature seen in composite spectra of the system is due solely to the FU Ori component, while a prominent CO emission feature at the same wavelength, long suspected to be associated with the innermost regions of a circumstellar accretion disk, can be assigned to the Herbig Ae/Be member. These findings clarify previous analyses of the origin of the CO emission in this complex system.