Core/shell Colloidal Quantum Dots (CQDs) are of interest for nonlinear photonic applications due to their unique properties. In this work, firstly CdTe/CdSe Quasi Type-II Colloidal Quantum Dots with an average core size of 3.54 nm and four different shell thicknesses (1.8 nm, 2.7 nm, 3.2 nm and 3.8 nm) were synthesized and characterized using UV–Vis spectroscopy and Transmission electron microscopy (TEM). Secondly nonlinear optical properties of these structures were determined using Femtosecond Z-scan method at the wavelength of 800 nm. Measured values for two photons absorption coefficients (β) and nonlinear refractive indices (n2) were found to be on the orders of 10−11 cm/W and 10−16 cm2/W, respectively. In addition, the third order nonlinear optical susceptibility values for these structures were calculated to be on the order of 10−10 esu. Quantum dots with thicker shells exhibited faintly higher nonlinear absorption coefficient and slightly lower third order nonlinear optical susceptibility values compared with that of thinner shells. Furthermore, pump power dependant nonlinear optical properties of core/shell nano-structures were investigated and it is observed that two photons absorption coefficient and the third order nonlinear optical susceptibility are pump dependant, while nonlinear refractive indices does not respond to the pump power.