Ultrafast transient absorption spectroscopy was used to investigate the nature of photoinduced charge transfer processes taking place in ZnSe/CdS/Pt colloidal heteronanocrystals. These nanoparticles consist of a dot-in-a-rod semiconductor domain (ZnSe/CdS) coupled to a Pt tip. Together the three components are designed to dissociate an electron-hole pair by pinning the hole in the ZnSe domain while allowing the electron to transfer into the Pt tip. Separated charges can then induce a catalytic reaction, such as the light-driven hydrogen production. Present measurements demonstrate that the internal electron-hole separation is fast and results in the localization of both charges in nonadjacent parts of the nanoparticle. In particular, we show that photoinduced holes become confined within the ZnSe domain in less than 2 ps, while electrons take approximately 15 ps to transition into a Pt tip. More importantly, we demonstrate that the presence of the ZnSe dot within the CdS nanorods plays a key role both in enabling photoinduced separation of charges and in suppressing their backward recombination. The implications of the observed exciton dynamics to photocatalytic function of ZnSe/CdS/Pt heteronanocrystals are discussed.