We obtained K-band (2.0--2.5 mu m) infrared spectra of the visually obscured superluminal source GRS 1915+105 at three different epochs of 1995, at times when it was detected as a hard X-ray source. The three spectra exhibit H I Br gamma (2.167 mu m) and He I (2.058 mu m) emission lines. The spectral morphology, absolute magnitude, and time variability of the infrared counterpart are consistent with the class of high-mass X-ray binaries that contain late Oe and early Be stars as mass donors. In GRS 1915+105 we have not detected the Doppler-shifted emission lines observed in the classic stellar source of relativistic jets, SS 433. We discuss why it may be more difficult in GRS 1915+105 than in SS 433 to detect emission lines from the jets.