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Messier 15 (NGC 7078) is an old and metal-poor post core-collapse globular cluster that hosts a rich population of variable stars. We report new optical (gi) and near-infrared (NIR, JK_s) multi-epoch observations for 129 RR Lyrae, 4 Population II Cepheids (3 BL Herculis, 1 W Virginis), and 1 anomalous Cepheid variable candidate in M15 obtained using the MegaCam and the WIRCam instruments on the 3.6 m Canada-France-Hawaii Telescope. Multi-band data are used to improve the periods and classification of variable stars, and determine accurate mean magnitudes and pulsational amplitudes from the light curves fitted with optical and NIR templates. We derive optical and NIR period-luminosity relations for RR Lyrae stars which are best constrained in the K_sband, m_Ks_=-2.333(0.054)logP+13.948(0.015) with a scatter of only 0.037 mag. Theoretical and empirical calibrations of RR Lyrae period-luminosity-metallicity relations are used to derive a true distance modulus to M15: 15.196 ± 0.026 (statistical) ± 0.039 (systematic) mag. Our precise distance moduli based on RR Lyrae stars and Population II Cepheid variables are mutually consistent and agree with recent distance measurements in the literature based on Gaia parallaxes and other independent methods.