We present spatially resolved near-infrared and mid-infrared (1-25 microns) imaging of the WL 20 triple system in the nearby (d=125 pc) rho Ophiuchi star-forming cloud core. We find WL 20 to be a new addition to the rare class of "infrared companion systems", with WL 20:E and WL 20:W displaying Class II (T-Tauri star) spectral energy distributions (SEDs) and total luminosities of 0.61 and 0.39 L_sun, respectively, and WL 20:S, the infrared companion, with a Class I (embedded protostellar) SED and a luminosity of 1.0-1.8 L_sun. WL 20:S is found to be highly variable over timescales of years, to be extended (40 AU diameter) at mid-infrared wavelengths, and to be the source of the centimeter emission in the system. The photospheric luminosities, estimated from our data, allow us to compare and test current pre-main-sequence evolutionary tracks. WL 20:E and WL 20:W fall into the region of the H-R diagram in which sources may appear up to twice as old as they actually are using non-accreting tracks, a fact which may reconcile the co-existence of two T-Tauri stars with an embedded protostar in a triple system. The derived masses and observed projected separations of the components of the WL 20 triple system indicate that it is in an unstable dynamical configuration, and may therefore provide an example of dynamical evolution during the pre-main-sequence phase.