Pb cations in PbS quantum rods made from CdS quantum rods by successive complete cationic exchange reactions are partially re-exchanged for Cd cations. Using STEM-HAADF, we show that this leads to the formation of unique multiple dot-in-rod PbS/CdS heteronanostructures, with a photoluminescence quantum yield of 45-55%. We argue that the formation of multiple dot-in-rods is related to the initial polycrystallinity of the PbS quantum rods, where each PbS crystallite transforms in a separate PbS/CdS dot-in-dot. Effective mass modeling indicates that electronic coupling between the different PbS conduction band states is feasible for the multiple dot-in-rod geometries obtained, while the hole states remain largely uncoupled.