The photoluminescence (PL) and reflection spectra of the heterostructure CdTe/Cd0.65Mg0.35Te were studied in the temperature range T=5-300 K. The heterostructure contains four CdTe quantum wells (QWs) with a thickness of 10.2, 5.1, 2.6 and 1.3 nm separated by Cd0.65Mg0.35Te barriers with a thickness of 20 nm. Four emission bands corresponding to the exciton recombination in these QWs, were detected under the above-barrier excitation. It was found that the energy transfer between neighboring QWs show an activation character. The coupling of the electron states of two neighboring QWs decreases with the increasing of their thickness. An estimation of the exciton state coupling between the neighboring QWs was carried out. It is concluded that energy transfer occurs through the Forster dipole-dipole interaction or through the real or virtual phonon states. Keywords: II-VI nanostructures, energy transfer, exciton luminescence.