In the short time period since their first synthesis, all-inorganic cesium lead halide nanocrystals have been successfully employed as active materials in high-efficiency solar cells, light-emitting diodes, and wide-color-gamut phosphors. While such rapid progress is a testament to the favorable optoelectronic properties of this new materials class, further technological advances typically necessitate a more refined understanding of their photophysics. Here, we investigate in detail the optically active states in cesium lead halide nanocrystals using a variety of techniques ranging from ultrafast spectroscopy to high-field magneto-optical studies at cryogenic temperatures. Our measurements shed light on a variety of fundamental characteristics of these quantum dots such as the exciton diamagnetic shift and fine structure, polarized emission from photoexcited states, magnetic circular dichroism, and optically active biexcitons and trions. Implications of these photophysical properties on the performance of light conversion devices will be discussed.