The first goal of the present paper is to study the class groups of the edge rings of complete multipartite graphs, denoted by $\Bbbk[K_{r_1,\ldots,r_n}]$, where $1 \leq r_1 \leq \cdots \leq r_n$. More concretely, we prove that the class group of $\Bbbk[K_{r_1,\ldots,r_n}]$ is isomorphic to $\mathbb{Z}^n$ if $n =3$ with $r_1 \geq 2$ or $n \geq 4$, while it turns out that the excluded cases can be deduced into Hibi rings. The second goal is to investigate the special class of divisorial ideals of $\Bbbk[K_{r_1,\ldots,r_n}]$, called conic divisorial ideals. We describe conic divisorial ideals for certain $K_{r_1,\ldots,r_n}$ including all cases where $\Bbbk[K_{r_1,\ldots,r_n}]$ is Gorenstein. Finally, we give a non-commutative crepant resolution (NCCR) of $\Bbbk[K_{r_1,\ldots,r_n}]$ in the case where it is Gorenstein.