Aims. We investigate thermal and nonthermal radio emission associated with the early formation and evolution phases of young stellar clusters (YSCs) selected by their mid-infrared (MIR) emission at 24 μm in M 33. We consider regions in their early formation period, which are compact and totally embedded in the molecular cloud, and in the more evolved and exposed phase. Methods. Thanks to recent radio continuum surveys between 1.4 and 6.3 GHz we are able to find radio source counterparts to more than 300 star forming regions of M 33. We identify the thermal free–free component for YSCs and their associated molecular complexes using the Hα line emission. Results. A cross-correlation of MIR and radio continuum is established from bright to very faint sources, with the MIR-to-radio emission ratio that shows a slow radial decline throughout the M 33 disk. We confirm the nature of candidate embedded sources by recovering the associated faint radio continuum luminosities. By selecting exposed YSCs with reliable Hα flux, we establish and discuss the tight relation between Hα and the total radio continuum at 5 GHz over four orders of magnitude. This holds for individual YSCs as well as for the giant molecular clouds hosting them, and allows us to calibrate the radio continuum–star formation rate relation at small scales. On average, about half of the radio emission at 5 GHz in YSCs is nonthermal with large scatter. For exposed but compact YSCs and their molecular clouds, the nonthermal radio continuum fraction increases with source brightness, while for large HII regions the nonthermal fraction is lower and shows no clear trend. This has been found for YSCs with and without identified supernova remnants and underlines the possible role of massive stars in triggering particle acceleration through winds and shocks: these particles diffuse throughout the native molecular cloud prior to cloud dispersal.