Since its discovery in 1992, the superluminal X-ray transient GRS 1915+105 has been extensively observed in an attempt to understand its behavior. We present here first results from a multiwavelength campaign undertaken from 1996 July to September. This study includes X-ray data from the RXTE All Sky Monitor and BATSE, two-frequency data from the Nancay radio telescope, and infrared photometry from the 1.8-m Perkins telescope at Lowell Observatory. The first long-term, well-sampled infrared light curve of GRS 1915+105 is presented herein; it is consistent with the interpretation of this source as a long-period binary. We compare the various light curves, searching for correlations in the behavior of the source at differing wavelengths and for possible periodicities.