ZnS/ZnSe heterostructures under condition of ZnSe interband excitation by a 150 fs laser pulse exhibit strong narrow-band modification of absorption and wide-band modification of reflection. Mean decay time for nonlinear reflection in heterostructures ranges from 2 to 3 ps whereas in bare ZnSe monolayer it exceeds 5 ps. Possible physical processes responsible for nonlinear refraction in the transparency region include interplay of absorption driven nonlinear refraction via Kramers–Kronig relations and intrinsic dielectric properties of dense electron–hole plasma. For nonlinear absorption at ZnSe band edge, interplay of plasma screening effects and states filling effects are relevant.