The femtosecond pump-probe technique is used to study the dynamics of photoexcited carriers and coherent acoustic phonons in bulk CdSe semiconductor. A turning point from fast to slow decay is observed, whose amplitude decreases with pump fluences and eventually flips the sign of differential reflectivity. The maximum change of differential reflectivity shows a saturation at high pump fluences, which is attributed to the optical energy gap dependent on carrier density. Long-lasting coherent oscillations of acoustic phonons have also been detected, and their amplitude and lifetime have a strong dependence on pump fluences. Our results can facilitate the understanding of ultrafast carrier and phonon dynamics in CdSe nanocrystals.