The authors report the study of thermal annealing (TA) effects on the intersubband transitions (ISB-T) properties in (CdS/ZnSe)/BeTe and CdS/ZnSe multiple quantum wells (MQWs). The samples were grown on (001)-GaAs substrates by molecular beam epitaxy. With the increase of annealing temperature, the ISB-T shifts to longer wavelength in (CdS/ZnSe)/BeTe MQWs, but to short wavelength in CdS/ZnSe MQWs. The ISB absorption vanishes at the annealing temperature of 270 °C for CdS/ZnSe QWs while survives to up to 440 °C for (CdS/ZnSe)/BeTe QWs. For (CdS/ZnSe)/BeTe MQWs after 20 minutes of TA, absorption wavelength and intensity become stable. For CdS/ZnSe MQWs, however we observed a blue shift in wavelength accompanied by a decrease of intensity after 45 minutes of TA. Photo-induced ISB-T measurements indicate that the disappearance of ISB absorption results from the loss of free-carriers in the well layers. ω/2θ scan and two-dimensional reciprocal space mapping (2DRSM)) measurements of X-ray diffraction (XRD) indicate that a built-up of tensile strain and interdiffusion at interfacial region in the annealed (CdS/ZnSe)/BeTe heterostructrues. 2DRSM also shows the enhanced structural relaxation in CdS/ZnSe MQWs. Based on the XRD analysis, the effects of TA on the ISB-T in (CdS/ZnSe)/BeTe and CdS/ZnSe MQWs are explained.