Mobile charge carriers in heterostructured nanoparticles are relevant for applications requiring charge separation and extraction. We investigate the benchmark systems CdSe–CdS core–shell quantum dots and quantum dots in quantum rods by optical and THz pump–probe spectroscopy. We relate photoconductivity and carrier location and observe that only shell-located electrons in quantum rods contribute to an observable photoconductivity. Despite the shallow electron confinement in the quasi-type II heterostructures, core-located carriers are bound into immobile excitons that respond on external electrical fields by polarization.