We present our effort on an efficient way of tuning the nonlinear absorption mechanisms in ultra-small CdSe based quantum dots by implementing core-shell and core/multi-shell architectures. Depending on the size, architecture and composition of the QDs, these materials exhibited resonant and near-resonant nonlinear optical absorption properties such as saturable (SA) and reverse saturable (RSA) absorption for 5 ns pulses of 532 nm. These QDs exhibited a non-monotonic dependence of the effective two-photon absorption coefficient (β) under nanosecond excitation with a maximum value for a thinner shell. We obtained a nonlinear absorption enhancement of an order of magnitude by adopting the core-shell architecture compared to their individual counterparts. Interestingly, CdSe QDs exhibit SA and/or RSA depending on their size and show a switching over from SA to RSA as the input intensity increases. We explained the enhanced nonlinear absorption in core-shell QDs compared to their individual counterparts in view of enhanced local fields associated with the core-shell structure. Thus, the present nanostructured materials are excellent candidates as saturable absorbers and optical limiters.