Cold Rydberg atoms trapped in a magneto-optical trap (MOT) are not isolated and they interact through dipole-dipole and multipole-multipole interactions. First-order dipole-dipole interactions and van der Waals interactions between two atoms have been intensively studied. However, the facts that the first-order dipole-dipole interactions and van der Waals interactions show the same size of broadening [A. Reinhard, K. C. Younge, T. C. Liebisch, B. Knuffman, P. R. Berman, and G. Raithel, Phys. Rev. Lett. 100, 233201 (2008)] and there are transitions between two dimer states [S. M. Farooqi, D. Tong, S. Krishnan, J. Stanojevic, Y. P. Zhang, J. R. Ensher, A. S. Estrin, C. Boisseau, R. Cote, E. E. Eyler, and P. L. Gould, Phys. Rev. Lett. 91, 183002 (2003); K. R. Overstreet, Arne Schwettmann, Jonathan Tallant, and James P. Shaffer, Phys. Rev. A 76, 011403(R) (2007)] cannot be explained by the two-atom picture. The purpose of this article is to show the few-body nature of a dense cold Rydberg gas by studying the molecular-state microwave spectra. Specifically, three-body energy levels have been calculated. Moreover, the transition from three-body energy levels to two-body coupled molecular energy levels and to isolated atomic energy levels as a function of the internuclear spacing ismore » studied. Finally, single-body, two-body, and three-body interaction regions are estimated according to the experimental data. The results reported here provides useful information for plasma formation, further cooling, and superfluid formation.« less