Studying the interplay between massive star formation and the interstellar medium (ISM) is paramount to understand the evolution of galaxies. Radio continuum (RC) emission serves as an extinction-free tracer of both massive star formation and the energetic components of the ISM. We present a multiband RC survey of the Local Group galaxy M 33 down to ≃30 pc linear resolution observed with the Karl G. Jansky Very Large Array (VLA). We calibrate the star formation rate surface density and investigate the impact of diffuse emission on this calibration using a structural decomposition. Separating the thermal and non-thermal emission components, the correlation between different phases of the ISM, and the impact of massive star formation are being investigated. Radio sources with sizes ≲200 pc constitute about 36 per cent (46 per cent) of the total RC emission at 1.5 GHz (6.3 GHz) in the inner 18 × 18 arcmin2 (or 4 kpc × 4 kpc) disc of M 33. The non-thermal spectral index becomes flatter with increasing star formation rate surface density, indicating the escape of cosmic ray electrons from their birth places. The magnetic field strength also increases with star formation rate following a bi-modal relation, indicating that the small-scale turbulent dynamo acts more efficiently at higher luminosities and star formation rates. Although the correlations are tighter in star-forming regions, the non-thermal emission is also correlated with the more quiescent molecular gas in the ISM. An almost linear molecular star formation law exists in M 33 when excluding diffuse structures. Massive star formation amplifies the magnetic field and increases the number of high-energy cosmic ray electrons, which can help the onset of winds and outflows.