Calculations of the energies of magnetic polarons formed by free excitons localised in non‐magnetic CdTe wells next to magnetic Cd1 − xMnxTe barriers are presented. A comparison with recent time‐resolved spectroscopy results allows insight to the physical aspects governing the dynamics of the formation of the polarons. It is shown that the experimentally measured energy shift is not the polaron energy itself but the difference between this and the change in the exciton binding energy. The latter is calculated within the envelope function approximation and by employing a variational technique. The polaron energy calculation uses a modified version of an approach described by Wolff. The results show that static polaron calculations are not generally reliable and that the exciton–magnetic polaron has to be viewed as a dynamically evolving complex. It is initially energetically favourable for the exciton–magnetic polaron complex to increase its spatial localisation, since the gains in polarisation energy exceed the loss in exciton binding energy. However, thermodynamic considerations suggest that in general saturation of the magnetic ions will not occur.