We report spectroscopic and photometric observations of the Type IIb SN 2011dh obtained between 4 and 34 days after the estimated date of explosion ( May 31.5 UT ) . The data cover a wide wavelength range from 2,000 à  in the ultraviolet ( UV ) to 2.4 \mu m in the near-infrared ( NIR ) . Optical spectra provide line profiles and velocity measurements of H i , He i , Ca ii and Fe ii that trace the composition and kinematics of the SN . NIR spectra show that helium is present in the atmosphere as early as 11 days after the explosion . A UV spectrum obtained with the Space Telescope Imaging Spectrograph reveals that the UV flux for SN 2011dh is low compared to other SN IIb . Modeling the spectrum with SYNOW suggests that the UV deficit is due to line blanketing from Ti ii and Co ii . The H i and He i velocities in SN 2011dh are separated by about 4,000 km s ^ { -1 }  at all phases . A velocity gap is consistent with models for a pre-explosion structure in which a hydrogen-rich shell surrounds the progenitor . We estimate that the H-shell of SN 2011dh is \approx  8 times less massive than the shell of SN 1993J and \approx  3 times more massive than the shell of SN 2008ax . Light curves ( LC ) for twelve passbands are presented : UVW2 , UVM2 , UVW1 , U , u ’ , B , V , r ’ , i ’ , J , H and K _ { s } . In the B -band , SN 2011dh reached peak brightness of 13.17 mag at 20.0 \pm 0.5 days after the explosion . The maximum bolometric luminosity of 1.8 \pm 0.2 \times 10 ^ { 42 } erg s ^ { -1 } occurred \approx  22 days after the explosion . NIR emission provides more than 30 % of the total bolometric flux at the beginning of our observations and the NIR contribution increases to nearly 50 % of the total by day 34 . The UV produces 16 % of the total flux on day 4 , 5 % on day 9 and 1 % on day 34 . We compare the bolometric light curves of SN 2011dh , SN 2008ax and SN 1993J . The LC are very different for the first twelve days after the explosions but all three SN IIb display similar peak luminosities , times of peak , decline rates and colors after maximum . This suggests that the progenitors of these SN IIb may have had similar compositions and masses but they exploded inside hydrogen shells that that have a wide range of masses . SN 2011dh was well observed and a likely progenitor star has been identified in pre-explosion images . The detailed observations presented here will help evaluate theoretical models for this supernova and lead to a better understanding of SN IIb .