We present new radio, optical, and X-ray observations of three ultraluminous X-ray sources (ULXs) that are associated with large-scale nebulae. We report the discovery of a radio nebula associated with the ULX IC 342 X-1 using the Very Large Array (VLA). Complementary VLA observations of the nebula around Holmberg II X-1, and high-frequency Australia Telescope Compact Array and Very Large Telescope spectroscopic observations of NGC 5408 X-1 are also presented. We study the morphology, ionization processes, and the energetics of the optical/radio nebulae of IC 342 X-1, Holmberg II X-1, and NGC 5408 X-1. The energetics of the optical nebula of IC 342 X-1 is discussed in the framework of standard bubble theory. The total energy content of the optical nebula is 6 × 1052 erg. The minimum energy needed to supply the associated radio nebula is 9.2 × 1050 erg. In addition, we detected an unresolved radio source at the location of IC 342 X-1 at the VLA scales. However, our Very Long Baseline Interferometry (VLBI) observations using the European VLBI Network likely rule out the presence of any compact radio source at milliarcsecond (mas) scales. Using a simultaneous Swift X-ray Telescope measurement, we estimate an upper limit on the mass of the black hole in IC 342 X-1 using the "fundamental plane" of accreting black holes and obtain M BH <= (1.0 ± 0.3) × 103 M&sun;. Arguing that the nebula of IC 342 X-1 is possibly inflated by a jet, we estimate accretion rates and efficiencies for the jet of IC 342 X-1 and compare with sources like S26, SS433, and IC 10 X-1.