The nonlinear optical properties of CdSe quantum dots are investigated using self‐saturation and degenerate four‐wave mixing techniques. The saturation of the room temperature absorption coefficient, for a wavelength in the vicinity of the first exciton peak, is measured. The measured data can be predicted from a description of the quantum dot as a two level, homogeneously broadened, saturating system. The variation of the four‐wave mixing reflectivity with intensity and with wavelength is reported. All four‐wave mixing data are also consistent with the homogeneously‐broadened two‐level model.