We have investigated the low-temperature magnetism of sodium superoxide (), in which spin, orbital, and lattice degrees of freedom are closely entangled. The magnetic susceptibility shows anomalies at K and K, which correspond well to the structural phase transition temperatures, and a sudden decrease below K. At 4.2 K, the magnetization shows a clear stepwise anomaly around 30 T with a large hysteresis. In addition, the muon spin relaxation experiments indicate no magnetic phase transition down to K. The inelastic neutron scattering spectrum exhibits magnetic excitation with a finite energy gap. These results confirm that the ground state of is a spin-singlet state. To understand this ground state in , we performed Raman scattering experiments. All the Raman-active libration modes expected for the marcasite phase below are observed. Furthermore, we find that several new peaks appear below . This directly evidences the low crystal symmetry, namely, the presence of the phase transition at . We conclude that the singlet ground state of is due to the spin-Peierls instability.