We report new K-band, radio continuum, and CO (1-0) imaging observations and 850 micron photometric observations of PDS 456, the most luminous QSO in the local universe (z<0.3). The 0.6 resolution K-band image obtained using the Keck telescope shows three compact K~16.5 (M(K)~ -21) sources at a projected distance of ~10 kpc to the southwest, and the host galaxy of PDS 456 may be interacting or merging with one or more companions. The observations using the OVRO millimeter array has revealed a narrow CO (1-0) line (FWHM = 181 km/s) centered at z=0.1849, and 9 x 10^9 solar mass of molecular gas mass is inferred. Radio continuum luminosity is nearly an order of magnitude larger than expected from its FIR luminosity, and the radio source, unresolved by the 2 beam of the VLA, is dominated by the AGN activity. Our 850 micron photometric observations suggest that the cold dust content of the host galaxy is less than one half of the amount in Arp 220. Its SED has both a QSO-like and a ULIRG-like nature, and the observed IR, X-ray, and gas properties suggest that the AGN activity dominates its luminosity. ULIRGs and IR QSOs form a broad continuous track in the ``star formation efficiency plot in the manner consistent with the ULIRG-QSO transition scenario, relating the evolution in the dust processed luminosity with the available fuel (gas and dust) supply. However, the location of PDS 456 is clearly offset from the apparent track traced by the ULIRGs and IR QSOs on this plot, and PDS 456 appears to be a rare, exceptional object, and the duration of the physical process governing its present properties must be short compared with the length of the luminous QSO phase.