The present work describes the structural and optical characterization of PbSe and PbSe/CdSe colloidal quantum dots (CQDs), the latter being produced by cation exchange of Pb2+ for Cd2+ ions. The cation exchange occurs on preferred crystallographic facets and results in either non-concentric CdSe shells or PbxCd1–xSe alloyed-shell layers. The obtained heterostuctures are referred to as PbSe/CdSe “thin shell” CQDs. The parent PbSe CQDs are limited to relatively small diameters of 3–4 nm, with absorption edge between 1.0 and 1.3 eV. The steady-state and time-resolved photoluminescence spectra recorded at various temperatures reveal the following properties of the PbSe/CdSe CQDs: (1) the photoluminescence intensity of air-free CQDs is maintained upon their exposure to oxygen; (2) the band-edge exciton lifetime is extended by about a factor of two relative to the parent PbSe CQDs. The experimental results and the effective mass-based calculations suggest the formation of alloyed shells and highlight a pronounced effect of core displacement from the CQD center on the heterostructure optical properties.