It has been shown using atomic-force microscopy that the PbI2 impurity is embedded in the CdI2 crystal lattice in the form of nanocrystalline inclusions. The model of a high-energy cation exciton related to the 3P2 state of a free Pb2+ ion has been considered for the impurity absorption (excitation) band at 3.23 eV. The resonance narrow photoluminescence bands with the split absorption band at 3.12 and 3.20 eV have been compared with the emission of a free Frenkel exciton. It has been demonstrated that, in the temperature range 25–45 K, there arises a self-trapped exciton state, and the main role in its formation is played by the bending vibrations of the CdI2 crystal lattice. The potential barrier separating the self-trapped state from the free exciton is 23 meV. The photoluminescence band at 2.4 eV is assigned to the emission of the self-trapped high-energy cation exciton of PbI2 in the CdI2 crystal lattice.