Peaking at 3.7 mag on 2020 July 11, YZ Ret was the second-brightest nova of the decade. The novas moderate proximity (2.7 kpc from Gaia) provided an opportunity to explore its multi-wavelength properties in great detail. Here we report on YZ Ret as part of a long-term project to identify the physical mechanisms responsible for high-energy emission in classical novae. We use simultaneous Fermi/LAT and NuSTAR observations complemented by XMM-Newton X-ray grating spectroscopy to probe the physical parameters of the shocked ejecta and the nova-hosting white dwarf. The XMM-Newton observations revealed a super-soft X-ray emission which is dominated by emission lines of CV, CVI, NVI, NVII, and OVIII rather than a blackbody-like continuum, suggesting CO-composition of the white dwarf in a high-inclination binary system. Fermi/LAT detected YZ Ret for 15 days with the gamma-ray spectrum best described by a power law with an exponential cut-off at 1.9 +/-0.6 GeV. In stark contrast with theoretical predictions and in keeping with previous NuSTAR observations of Fermi-detected classical novae (V5855 Sgr and V906 Car), the 3.5-78 keV X-ray emission is found to be two orders of magnitude fainter than the GeV emission. The X-ray emission observed by NuSTAR is consistent with a single-temperature thermal plasma. We detect no non-thermal tail of the GeV emission expected to extend down to the NuSTAR band. NuSTAR observations continue to challenge theories of high-energy emission from shocks in novae.