We report on a multi-wavelength study of the relationship between young star clusters in the Antennae galaxies (NGC 4038/9) and their interstellar environment, with the goal of understanding the formation and feedback effects of star clusters in merging galaxies. This is possible for the first time because various new observations (from X-rays to radio wavelengths) have become available in the past several years. Quantitative comparisons are made between the positions of the star clusters (broken into three age groups) and the properties of the interstellar medium by calculating the two-point correlation functions. We find that young star clusters are distributed in a clustered fashion. The youngest star clusters are associated with molecular cloud complexes with characteristic radii of about 1 kpc. In addition, there is a weak tendency for them to be found in regions with higher HI velocity dispersions. No dominant triggering mechanism is identified for the majority of the clusters in the Antennae. Feedback from young bright cluster complexes show large H_alpha bubbles and H_alpha velocity gradients in shells around the complexes. We estimate the current star formation rate to be 20 solar mass/yr, and the gas consumption timescale to be 700 Myr. The latter is comparable to the merging time scale and indicates that star formation has been enchanced by the merger event. Finally, we find that the Schmidt law, with index N=-1.4, is also a good description of the cluster formation triggered by merging in the Antennae. There is some evidence that feedback effects may modify the Schmidt law at scales below 1 kpc.