A short-range spin correlation driven, strongly intercoupled spin-phonon-electronic state far above TN ( 38K) is identified in the low dimensional van der Waals antiferromagnet CrPS4. Temperature-dependent Raman spectroscopy reveals spin-phonon coupling persisting up to T* 120K, concomitant with local lattice distortion. The setting of vibronic progression in photoluminescence spectra suggests the strengthening of electron-phonon coupling around T*. Furthermore, both the electrical transport and optoelectronic response also change significantly at T*. The results indicate that spin-phonon coupling above TN in CrPS4 originates from local lattice distortion induced by short range magnetic correlations which in turn enhances the electron-phonon interaction. Furthermore, using a CrPS4/In2Se3 heterostructure, we demonstrate that the anomaly associated with the coupled degrees of freedom in CrPS4 also influences the adjacent In2Se3 layer. The lattice dynamics of In2Se3 is significantly modified across the magnetic anomaly of CrPS4, and the coupled dynamics is observed at T*. These interfacial manifestation opens up new possibilities for achieving correlated multifunctionalities in artificially designed heterostructure.