A detailed investigation of excitonic states by means of one‐ and two‐photon absorption photoluminescence excitation spectroscopy in Zn1−xCdxSe/ZnSe multi‐quantum wells is reported. Ground state and excited heavy‐ and light‐hole excitons associated with then=1,2 subbands have been selectively probed exploiting the different selection rules governing one‐ and two‐photon absorption processes. Experimental exciton transition energies are found to be in good agreement with theoretical predictions when strain and confinement effects are included. The comparison between experiments and theory allowed us to single out a well defined set of band parameters and to gauge the band‐offsets in these heterostructures. Furthermore, the absorption band edge clearly evident in the two‐photon absorption photoluminescence excitation spectra allowed us to directly measure excitonic binding energies with good accuracy. ©1996 American Institute of Physics.