The origin of the size-dependent Stokes shift in CsPbBr3 nanocrystals (NCs) is explained for the first time. Stokes shifts range from 82 to 20 meV for NCs with effective edge lengths varying from similar to 4 to 13 nm. We show that the Stokes shift is intrinsic to the NC electronic structure and does not arise from extrinsic effects such as residual ensemble size distributions, impurities, or solvent-related effects. The origin of the Stokes shift is elucidated via first-principles calculations. Corresponding theoretical modeling of the CsPbBr3 NC density of states and band structure reveals the existence of an intrinsic confined hole state 260 to 70 meV above the valence band edge state for NCs with edge lengths from similar to 2 to 5 nm. A size-dependent Stokes shift is therefore predicted and is in quantitative agreement with the experimental data. Comparison between bulk and NC calculations shows that the confined hole state is exclusive to NCs. At a broader level, the distinction between absorbing and emitting states in CsPbBr3 is likely a general feature of other halide perovskite NCs and can be tuned via NC size to enhance applications involving these materials.