We have investigated the effects of band filling and thermal escape on the temperature dependence and excitation power dependence of photoluminescence of CdTe QDs grown by molecular beam epitaxy on ZnTe(100) substrate. The absorption spectrum indicates that the PL spectrum consists of two peaks. The experimental results of excitation power dependence were well simulated by the rate equation model taking into account the effect of band filling. The temperature dependence of PL showed significant difference for different excitation powers. It is suggested that either the wetting layer or excited states play an important role in band filling and thermal escape.