We present transient absorption studies with femtosecond time resolution on the electron-hole dynamics in CdTe tetrapod nanostructures. Electron-hole pairs are generated by optical excitation in the visible spectral range, and an immediate bleach and induced absorption signal are observed. The relaxation dynamics to the lowest excitonic state is completed in about 6 ps. Experiments with polarized excitation pulses give information about the localization of the excited-state wave functions. The influence of the nanocrystal shape on the optical properties of CdTe nanoparticles is discussed.