The non-equilibrium state of two oscillators with a mutual interaction and coupled to separate heat baths is discussed. Bosonic baths are considered, and an exact spectral representation for the elements of the covariance matrix is provided analytically. A wide class of spectral densities for the relevant bath modes is allowed for. The validity of the fluctuation-dissipation theorem is established for global equilibrium (both baths at the same temperature) in the stationary state. Spectral measures of entanglement are suggested by comparing to the equilibrium spectrum of zero-point fluctuations. No rotating-wave approximation is applied, and anomalous heat transport from cold to hot bath, as reported in earlier work, is demonstrated not to occur.