Aims. We present the first NIR spectro-interferometry of the LBV η Carinae. The observations were performed with the AMBER instrument of the ESO Very Large Telescope Interferometer (VLTI) using baselines from 42 to 89 m. The aim of this work is to study the wavelength dependence of η Car's optically thick wind region with a high spatial resolution of 5 mas (11 AU) and high spectral resolution. Methods. The observations were carried out with three 8.2 m Unit Telescopes in the K-band. The raw data are spectrally dispersed interferograms obtained with spectral resolutions of 1500 (MR-K mode) and 12 000 (HR-K mode). The MR-K observations were performed in the wavelength range around both the He i 2.059 µm and the Brγ 2.166 µm emission lines, the HR-K observations only in the Brγ line region.Results. The spectrally dispersed AMBER interferograms allow the investigation of the wavelength dependence of the visibility, differential phase, and closure phase of η Car. In the K-band continuum, a diameter of 4.0 ± 0.2 mas (Gaussian FWHM, fit range 28-89 m baseline length) was measured for η Car's optically thick wind region. If we fit Hillier et al. (2001, ApJ, 553, 837) model visibilities to the observed AMBER visibilities, we obtain 50% encircled-energy diameters of 4.2, 6.5 and 9.6 mas in the 2.17 µm continuum, the He i, and the Brγ emission lines, respectively. In the continuum near the Brγ line, an elongation along a position angle of 120• ±15• was found, consistent with previous VINCI/VLTI measurements by van Boekel et al. (2003, A&A, 410, L37). We compare the measured visibilities with predictions of the radiative transfer model of Hillier et al. (2001), finding good agreement. Furthermore, we discuss the detectability of the hypothetical hot binary companion. For the interpretation of the non-zero differential and closure phases measured within the Brγ line, we present a simple geometric model of an inclined, latitude-dependent wind zone. Our observations support theoretical models of anisotropic winds from fast-rotating, luminous hot stars with enhanced high-velocity mass loss near the polar regions.