We report near-infrared K ', L', and M ' band imaging observations of the nearby merging galaxy NGC 6240 with the Infrared Camera and Spectrograph on the Subaru telescope. The observations were performed with the assistance of the Subaru Adaptive Optics System, and the achieved spatial resolutions were around 0{^''.}10-0{^''.}20. We also obtained new mid-infrared imaging in the Si-2 filter band (8.7 μm) and N-band (7.5-13 μm) spectroscopy of this galaxy with the CanariCam on the Gran Telescopio Canarias with a spatial resolution of 0{^''.}4-0{^''.}5. In the K ' band image the two nuclei of the galaxy each show a double peak suggesting the complex geometry of the source, while the L', M ', and Si-2 band images show single compact structures in each of the two nuclei. Assuming that the center core observed at wavelengths longer than 3.8 μm is associated with dust heated by the buried AGN, we re-evaluated the spectral energy distributions (SEDs) of the southern nucleus from 2 to 30 μm with additional literature values, and performed the SED+spectroscopy fit using the clumpy torus models of Nenkova et al. (2008a, ApJ, 685, 145; 2008b, ApJ, 685, 160) and a Bayesian fitting approach. The model fit suggests that the high covering factor torus emission in the southern nucleus is also obscured by foreground dust in the host galaxy. The estimated AGN bolometric luminosity of the southern nucleus, Lbol(AGN) ˜ 1 × 1045 erg s-1, accounts for approximately 40% of the whole luminosity of the system.