Local Ultra-Luminous Infrared Galaxies (ULIRGs) are gas-rich major mergers and represent the most extreme examples of dusty star formation and AGN in the local Universe. These systems are considered analogs to the mergers that were common at the early stages of the Universe. As such, local ULIRGs can help us understand this key dusty phase in galaxy evolution. However, most of the activity in ULIRGs is so deeply embedded that even basic properties like the AGN fraction are still a matter of debate. In this presentation, I will discuss our analysis of various mid-IR molecular bands (e.g., H2O, CO, H3+, etc.) detected by NIRSpec and MIRI/MRS in local ULIRGs, some of them first detected by JWST. These bands are a very powerful tool to study the dusty ISM since they allow accurate characterization of the gas temperature, density, and kinematics. I will present how we can infer the presence of otherwise elusive AGN and quantify feedback effects through molecular gas inflow/outflow rates, as well as trace a variety of properties, from cosmic ray rates to PAH formation/destruction, which are key for understanding the physical and chemical processes governing dust and gas evolution in ULIRGs.