CdSe nanostructures, including spherical Quantum Dots and elongated nanorods capped with trioctylphosphine oxide,1‐Octadecanamine, Tetradecylphosphonic acid or ZnSe thin shell, have been synthesized with colloidal methods. Both UV‐Vis absorption and photoluminescence spectra show that the prepared nanostructures exhibit a quantum confinement effect. X‐ray absorption fine structure has been carried out on these nanostructures with different size, shape and capping molecules to evaluate the electronic features. X‐ray Excited Optical Luminescence has also been used to investigate the local chemical environment of a site, which contributes to a particular luminescent band.