There are varied spin states in dilute magnetic semiconductors, and carriers are not the only elementary excitations that carry the spin. This article reports a study of spin interactions in excitons of ZnSe:NiI(II) nanostructures. High-quality ZnSe:NiI(II) nanobelts (NBs) prepared by chemical vapor deposition show a zinc blende structure by x-ray diffraction and Raman spectroscopy. The temperature-dependent photoluminescence spectra of doped NBs show independent free exciton (FX) and exciton magnetic polaron (EMP) peaks at room temperature with ferromagnetically coupled Ni ions. A single-mode lasing profile was obtained with femtosecond laser excitation due to condensation of EMPs over a threshold. The luminescence lifetimes at different pump powers indicated different relaxation profiles, confirming the formation of coherent EMP aggregates. At a slightly higher dopant concentration, a weak peak at the high-energy side of the FX peak showed up separately at low temperature; this should be the magnetic polaron emission band from the antiferromagnetically coupled Ni(II) pair binding with a FX (antiferromagnetic magnetic polaron). These results illustrate the typical spectroscopic characteristics of spin-spin magnetic coupling, exciton-spin or phonon interactions in dilute magnetic semiconductor nanostructures, showing that their different coupled spin types could work as exciton binders for their collective excitons, with possible use in spin nanophotonic devices and quantum modulations.