We obtained the near-infrared (NIR) high-resolution ($R\equiv\lambda/\Delta\lambda\sim20,000$) spectra of the seven brightest early-type stars in the Cygnus OB2 association for investigating the environmental dependence of diffuse interstellar bands (DIBs). The WINERED spectrograph mounted on the Araki 1.3m telescope in Japan was used to collect data. All 20 of the known DIBs within the wavelength coverage of WINERED ($0.91<\lambda<1.36\mu$m) were clearly detected along all lines of sight because of their high flux density in the NIR wavelength range and the large extinction. The equivalent widths (EWs) of DIBs were not correlated with the column densities of C$_2$ molecules, which trace the patchy dense component, suggesting that the NIR DIB carriers are distributed mainly in the diffuse component. On the basis of the correlations among the NIR DIBs both for stars in Cyg OB2 and stars observed previously, $\lambda\lambda$10780, 10792, 11797, 12623, and 13175 are found to constitute a "family", in which the DIBs are correlated well over the wide EW range. In contrast, the EW of $\lambda$10504 is found to remain almost constant over the stars in Cyg OB2. The extinction estimated from the average EW of $\lambda$10504 ($A_V\sim3.6$mag) roughly corresponds to the lower limit of the extinction distribution of OB stars in Cyg OB2. This suggests that $\lambda$10504 is absorbed only by the foreground clouds, implying that the carrier of $\lambda$10504 is completely destroyed in Cyg OB2, probably by the strong UV radiation field. The different behaviors of the DIBs may be caused by different properties of the DIB carriers.

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