The integration of confined exciton and localized surface plasmon in a hybrid nanostructure has recently stimulated extensive interests. The mechanistic insights into the elusive exciton–plasmon interplay at the nanoscale are of both fundamental and applicable values. Herein, by taking a hybrid WSe2/CuFeS2 system as a prototype, in which the excitonic semiconductor WSe2 nanosheets are interfaced with the plasmonic semiconductor CuFeS2 nanocrystals to form a heterostructure, we design and perform an ultrafast dynamics study to glean information in this regard. Specifically, the band-alignment relationship between the two components enables the contrasting case studies in which the excitonic excited states of WSe2 are pre-selected to be on-/off-resonant with the plasmon band of CuFeS2. As revealed by the joint observations from steady-state absorption and photoexcitation-dependent/temperature-dependent femtosecond time-resolved transient absorption (fs-TA) spectroscopy, an effective energy transfer process occurs in this exciton–plasmon system where the energy donor (acceptor) is the excitonic WSe2 (plasmonic CuFeS2) and its efficiency is modulated by the exciton–plasmon coupling strength. Furthermore, as inferred from the temperature-dependent fs-TA analysis, the opening of such an energy-transfer channel turns out to take place during the early phase of plasmon decay (∼1 ps). In addition, the activation energy of energy transfer for a specific exciton-state-selected case is estimated (∼200 meV). This work provides a dynamics perspective to the plasmon semiconductor-involved exciton–plasmon interplay that features excited-state selectivity of exciton band and, hence, would be of guiding value for rational design and optimization of relevant applications based on exciton–plasmon manipulation.