We report the first observation of photoluminescence from CdTe/Hg1−yCdyTe/Hg1−xCdxTe (y>x) separate confinement heterostructures grown by molecular beam epitaxy. The spectral shape is determined by the band filling of electrons in the well which is due to a charge transfer effect. There is an appearance of high‐energy transitions at high temperatures. The strong photoluminescence from the layer is highly promising for the observation of the laser action.