>> In PS  CMYK color space  looks great using laser printer. Printer and monitor are calibrated - so what you see is what you get

Photoshop (Ps) is apparently making a good Conversion to your Print Space-Profile (or you are getting lucky they are close).

>> When the images are imported to Indesign or  or converted to a PDF the colors look awful

Be sure you embedd profiles and set up your Adobe Color Settings to use the embedded profiles.

>> What is the best way to preserve color when using images in different design software

Establish device-independent 'native' Color Spaces (Working RGB and CMYK) and CONVERT to your PROOFING (print/monitor/Web) ICC profiles as a last step in the printing process and/or Saving a production copy in the target color space.

>> Should color space be changed even though is all printed on same CMYK laser printer.

Your Source Spaces will typically be different than your Print Space and your Monitor Space and your Web Space — CMYK is different in that it may be also be both Source/Target spaces — I create/work/edit in high-bit, high-gamut RGB and CONVERT to CMYK in the Printer Utility or in a final production copy when I know the target CMYK profile.

I recommend reading up on how Adobe Color Management Systems use ICC profiles...

Lastly,

Realize, all a COLOR MANAGEMENT SYSTEM (CMS) DOES is:

1) HONOR (apply) a SourceProfile/Space

2) CONVERT to a PROOFING SourceSpace/Profile (monitor or printer)

Remember:

The monitor can PROOF the source file faithfully regardless of how wrong the printer setup.

The printer can PROOF the source file regardless of how wrong the monitor is set up.

Once you understand how ICC profiles work, the mystery unfolds pretty fast...