Humans consciously and subconsciously establish various links, emerge semantic images and reason in mind, learn linking effect and rules, select linked individuals to interact, and form closed loops through links while co-experiencing in multiple spaces in lifetime. Machines are limited in these abilities although various graph-based models have been used to link resources in the cyber space. The following are fundamental limitations of machine intelligence: (1) machines know little link and rules in the physical space, physiological space, psychological space, socio space and mental space, so it is not realistic to expect machines to discover laws and solve problems in these spaces; and, (2) machines can only process pre-designed algorithms and data structures in the cyber space. They are limited in ability to go beyond the cyber space, to learn linking rules, to know the effect of linking, and to explain computing results according to physical, physiological, psychological and socio laws. Linking various spaces will create a complex space ⎯ the Cyber-Physical-Physiological-Psychological-Socio-Mental Environment CP 3 SME. Diverse spaces will emerge, evolve, compete and cooperate with each other to extend machine intelligence and human intelligence. From multidisciplinary perspective, this paper reviews previous ideas on various links, introduces the concept of cyberphysical society, proposes the ideal of the CP 3 SME including its definition, characteristics, and multidisciplinary revolution, and explores the methodology of linking through spaces for cyber-physical-socio intelligence. The methodology includes new models, principles, mechanisms, scientific issues, and philosophical explanation. The CP 3 SME aims at an ideal environment for humans to live and work. Exploration will go beyond previous ideals on intelligence and computing.