From Firearms Frequently Asked Questions (FAQ's) | New Jersey State Police
25: Can I travel through New Jersey with my firearms?
Yes. With no unreasonable deviations from your travels you may drive through New Jersey with any type firearm or ammunition. If New Jersey is the State of destination, then the firearms must be legal in this State.
and
6: How do you transport firearms?
Firearms shall be carried unloaded and contained in a closed and fastened case, gunbox, securely tied package, or locked in the trunk of the automobile in which it is being transported. If the vehicle does not have a compartment separate from the passenger compartment, the firearm and or ammunition shall be in a locked container other than the vehicle's glove compartment or center console and kept farthest from the driver.
As a precaution, ammunition shall be transported in a separate container and locked in the trunk of the automobile in which it is being transported. Ammunition magazines may remain loaded during transportation and shall be carried separate from the firearm.
Unless, of course, the gun is a type simply illegal to own in NJ, such as an assault rifle, automatic rifle, etc. This may be dated, but outlines what firearms are illegal: A Guide to Legal Firearms Possession in New Jersey - HG.org.