We present the first light curves in the infrared J, H, and K bands of UX Her and analyze them together with published light curves in B and V in order to determine the physical parameters of the system. Based on the spectra of UX Her and standard stars in the region 8440-8870 Å, we classify the primary component of the binary as a type A2-3 V star. From the absolute radii of the stars that we derive from the light-curve analysis, we find that none of the components of the binary are filling their Roche lobes. Considering the contributions of the secondary star to the total light given by the light-curve solutions, and the measured B, V, J, H, and K magnitudes at maxima and during the eclipses, we find good agreement with those predicted from stellar atmosphere models for effective temperatures of the stellar components: Teff,1≍9000 K and Teff.2˜4500 K, with the system at a distance d≍280 pc.