Driven by the “dual carbon” target, the new power system transformation is facing challenges in system stability and economy brought by the new energy’s multi-temporal and spatial uncertainties. Pumped storage is a good response to these challenges by providing multiple-time-scale energy storage to improve the grid security level and power energy quality and achieve economical and energy–saving operation of the power grid. Starting by analyzing the main challenges faced during the power system transformation process, this study summarizes the current research status of pumped storage in China in terms of functional application scenarios, technological innovations, economic benefits, and environmental benefits. Then, a multi-objective optimization model of the combined wind-photovoltaic-thermal-pumped storage system is developed to provide preliminary ideas for addressing the current challenges. Finally, we discuss the scientific issues that need to be focused on in order to maximize the benefits of pumped storage from the technical, economic, and environmental perspectives and propose future research directions based on international experience. The results show that the established model can effectively improve the economic return of the system and reduce the volatility of the power grid connection. At the same time, it can promote the efficient utilization of new energy, and the model has high feasibility. In the future, we should carry out in-depth research on the principles of pumped storage participation in multi-energy complementation across multi-temporal and spatial scales, vigorously promote technological innovation and upgrading, explore the market-oriented revenue return mechanisms reflecting the value contribution of pumped storage, and strengthen the energy and environmental management of pumped storage power stations. The research in this paper takes into account both macro and micro-level scientific issues and provides ideas for efficiently addressing key challenges in the new power system transformation.