Microscopic photoluminescence (PL) spectra of self-assembled CdSe quantum dots (QDs) grown by molecular beam epitaxy were investigated under excitation of intense femtosecond laser. Two samples with different QD sizes were fabricated. One had a single layer of larger CdSe QDs while the other had three layers of smaller QDs. The second harmonic radiation at 420 nm obtained from a mode-locked tunable Ti-Sapphire laser was used as the excitation source. The laser power density was in the order of kW cm−2 and the peak power density was in the order of GW cm−2 for the 150 fs laser pulse with a repetition rate of 78 MHz. The intense femtosecond laser pulses generated strong surface acoustic waves and modulated energy bands of electrons and holes of CdSe QDs. Increasing of the laser power resulted in the PL peak of the CdSe QDs splitting into four peaks for both QD samples: two peaks shifted to a lower energy side and the other two shifted to a higher energy side. The strong strain fields led to the mixing of heavy-hole state and light-hole state in the quantum dots. The strain fields further modulated the energy bands of electrons and holes and produced splitting of both electron–heavy hole (e-hh) transition and electron–light hole (e-lh) transition. For the sample with a single layer of smaller QDs, the energy splitting for both e-hh and e-lh transitions reached 23.5 meV at a peak power density of 0.32 GW cm−2. For the sample with three layers of larger QDs, the energy splitting was 19.9 meV for e-hh transition and 17.9 meV for e-lh transition at a peak power of 1.1 GW cm−2.