Context. Z CMa is a complex pre-main sequence binary with a current separation of 110 mas, known to consist of an FU Orionis star (SE component) and an embedded Herbig Be star (NW component). Although it represents a well-studied and characterized system, the origin of photometric variabilities, the component properties, and the physical configuration of the system remain mostly unknown.Aims. Immediately when the late-2008 outburst of Z CMa was announced to the community, we initiated a high angular resolution imaging campaign aimed at characterizing the outburst state of both components of the system in the near-infrared.Methods. We used the VLT/NACO and the Keck/NIRC2 near-infrared adaptive optics instrument to monitor the astrometric position and the near-infrared photometry of the Z CMa components during the outburst phase and one year after. The VLT/SINFONI and Keck/OSIRIS integral field spectroscrographs were in addition used to characterize for the first time the resolved spectral properties of the FU Orionis and the Herbig Be component during and after the outburst.Results. We confirm that the NW star dominates the system flux in the 1.1−3.8 μm range and is responsible for the photometric outburst. We extract the first medium-resolution (R ~ 2000−4000) near-infrared (1.1−2.4 μm) spectra of the individual components. The SE component has a spectrum typical of FU Orionis objects. The NW component spectrum is characteristic of embedded outbursting protostars and EX Or objects. It displays numerous emission lines whose intensity correlates with the system activity. In particular, we find a correlation between the Brγ equivalent width and the system brightness. The bluing of the continuum of the NW component along with the absolute flux and color-variation of the system during the outburst suggests that the outburst was caused by a complex interplay between a variation of the extinction in the line of sight of the NW component on one hand, and the emission of shocked regions close to the NW component on the other. We confirm the recently reported wiggling of the SE component jet from [Fe II] line emission. We find a point-like structure associated with a peak emission at 2.098 μm coincidental with the clump or arm seen in broadband polarization differential imaging as well as additional diffuse emission along a PA = 214°. The origin of these two structures is unclear and deserves further investigation.