We present here the first light curves of the peculiar Algol binary system R Canis Majoris obtained in the near-infrared photometric bands J and K. The light curves are fitted for a semidetached model with the Wilson-Devinney light-curve synthesis program. The parameters of the system are derived. Published light curves in the optical photometric bands (U, Un, B, Bn, V, Vn, Hβw, and Hβn of Guinan, V light curve of Sato, and Hαw and Hαn light curves of Edalati, Khalesse, & Riazi) are reanalyzed and the results are compared. The temperature of the secondary component T2 derived from the light-curve analysis shows an increase toward the near-IR wavelengths, achieving maximum in the K band. The secondary minima are deeper by 0.03 and 0.07 mag and the primary minima are shallower by 0.02 and 0.03 mag in the J and K bands, respectively, than what is expected in these bands from the secondary temperature and primary radius derived from the V band. In the case of the Hα and Hβ light curves, the narrowband light curves yielded higher T2 than the broadband light curves. The values of T2 derived from these bands are found to be higher than those derived from the light curves observed in the neighboring wavelengths. We consider the possibility of the difference in the strength of photospheric absorption of Hα and Hβ lines in the primary and the secondary as a reason for the high values of T2 derived from these light curves. Five epochs of primary minima and four epochs of secondary minima are obtained in the present study. The increased depth of the secondary minima in the near-IR bands compared with the optical bands enabled us to determine the moments of secondary minima with nearly the same accuracy as those of primary minima. All the secondary minima appear at phase 0.5, and the durations are equal for the primary and the secondary eclipses. The epochs of primary minima follow the nearly sinusoidal O-C curve that has been observed for this star in previous studies. The values of O-C for the secondary minima were in the same range as those of the primary minima observed by us. We conclude that the system is in a circular orbit. Our observed epochs of primary minima support the presence of a third component in the system, as proposed by Radhakrishnan, Sarma, & Abhyankar. The effect of the presence of a third, noneclipsing, light source would be to suppress the observed depths of both the eclipses, whereas in this system we find that the secondary eclipse depth is being enhanced and the primary eclipse depth is being suppressed compared with expectations. So we have not fitted for a third light in our light-curve analysis, leaving the nature of the third body, if present, undetermined from our present light-curve analysis. The J-band light curve of R CMa fitted well with a bolometric albedo of the secondary star A2 = 0.5, as expected for a star with a convective atmosphere. But the K-band light curve showed a value of A2 = 0.84. A2 is also found to be higher in the broadband light curves than in the narrowband light curves at all the optical wavelengths (except in the U and Un bands, in which the secondary minima are very shallow). This result can provide clues about the cause of the high A2 observed in many Algol-type binary light curves. A2 is also found to vary for light curves at the same wavelengths but taken at different epochs, which helps us to conclude that the high value of A2 seen in many light curves need not be of photospheric origin.