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Recently we discovered an unprecedented supermassive black hole binary (SMBHB) candidate in the nearby Seyfert galaxy SDSS J1430+2303, which is predicted to merge within three years. X-ray spectroscopy may bring unique kinematic evidence for the last inspiraling stage, when the binary is too close to allow each of them to hold an individual broad line region. We try to confirm the unique SMBHB merger event and understand the associated high-energy processes from a comprehensive X-ray view. We observed SDSS J1430+2303 with XMM-Newton, NuSTAR, Chandra, and Swift spanning the first ~200 days since its discovery. X-ray variability, up to a factor of 7, has been detected on a timescale of a few days. The broadband spectrum from 0.2-70 keV can be well fitted with a model consisting of a power law and a relativistic reflection covered by a warm absorber. The properties of the warm absorber changed dramatically, for example, with a decrease in the line-of-sight velocity from ~0.2c to ~0.02c, between the two XMM-Newton observations separated by only 19 days, which can be naturally understood in the context of the SMBHB; although, the clumpy wind scenario cannot be completely excluded. Broad Fe Kalpha emission has been robustly detected, though its velocity shift or profile change is not yet measurable. Further longer X-ray observations are highly encouraged to detect the expected orbital motion of the binary.