CuBr nanocrystals ~NC’s ! embedded in a borosilicate glass matrix have been studied by transmission pump-and-probe experiments with both spectral and temporal resolution. Transient as well as persistent spectral hole-burning phenomena are observed in the excitonic absorption of small NC’s ~mean radius less than 4 nm! when picosecond and nanosecond dye-laser pulses excite selectively NC’s of a specific size at low temperatures. The holes consist of a zero-phonon line ~at the photon energy of the excitation! and marked phonon sidebands. This structure is explained by a strong exciton‐optical-phonon interaction. A value of about 1 of the Huang-Rhys factor S is obtained from the Stokes shifts between absorption and photoluminescence spectra. From the width of zero-phonon holes, a lower limit of 2.3 ps of the exciton dephasing time T2 is deduced. This value is compared to the one obtained by transient four-wave-mixing measurement ~6.4 ps! at low excitation intensities. When the radii of NC’s decrease, both types of spectral holes become broader and the persistent spectral-hole burning is more efficient. @S0163-1829~98!07903-X#