X-ray observations have unveiled the existence of enigmatic point-like sources at the center of young (a few kyrs) supernova remnants. These sources, known as Central Compact Objects (CCOs), are thought to be neutron stars produced by the supernova explosion, although their X-ray phenomenology makes them markedly different from all the other young neutron stars discovered so far.The aim of this work is to search for the optical/IR counterpart of the Vela Junior CCO and to understand the nature of the associated Halpha nebula discovered by Pellizzoni et al. (2002).}{We have used deep optical (R band) and IR (J,H,Ks bands) observations recently performed by our group with the ESO VLT to obtain the first deep, high resolution images of the field with the goal of resolving the nebula structure and pinpointing a point-like source possibly associated with the neutron star.Our R-band image shows that both the nebulas flux and its structure are very similar to the Halpha ones, suggesting that the nebula spectrum is dominated by pure Halpha line emission. However, the nebula is not detected in our IR observations, whick makes it impossible to to constrain its spectrum. A faint point-like object (J>22.6, H~21.6, Ks ~ 21.4) compatible with the neutron stars Chandra X-ray position is detected in our IR images (H and Ks) but not in the optical one (R > 25.6), where it is buried by the nebula background. The nebula is most likely a bow-shock produced by the neutron star motion through the ISM or, alternatively, a photo-ionization nebula powered by UV radiation from a hot neutron star.