In this work, one kind of type II ZnSe/CdS/ZnS core/shell/shell nanocrystals (NCs) is synthesized, and their linear and nonlinear photophysical properties are investigated. Through measurements of the temperature-dependent photoluminescence spectra of NCs, their excitonic properties, including the coefficient of the bandgap change, coupling strength of the exciton acoustic phonons, exciton longitudinal optical (LO) phonons, and LO–phonon energy are revealed. Femtosecond transient absorption spectroscopy was employed to obtain insight into ultrafast processes occurring at the interface of ZnSe and CdS, such as those involving the injection of photo-induced electrons into the CdS shell, interfacial state bleaching, and charge separation time. At the end, their multiphoton absorption spectra were determined by using the z-scan technique, which yielded a maximum two-photon absorption cross section of 3717 GM at 820 nm and three-photon absorption cross section up to $3.9\times {10}^{?77}{\mathrm{cm}}^6·{\mathrm{s}}^2·{\text{photon}}^{?2}$ at 1220 nm, respectively. The photophysical properties presented here may be important for exploiting their relevant applications in optoelectronic devices and deep-tissue bioimaging.