Optical absorption in double-wall carbon nanotubes for light polarized perpendicular to the tube axis is studied by taking into account exciton effects and depolarization effects within an effective-mass theory. The Coulomb interaction is suppressed by not only intrawall screening effects but also interwall screening, leading to the reduction of exciton binding energies and band gaps. When two tubes are both semiconducting, a clear exciton peak still survives even under depolarization effects for the outer tube, but the exciton peak of the inner tube has an asymmetric Fano line shape due to the coupling with continuum states of the outer tube. When a double-wall nanotube contains a metallic tube, either inner or outer, the exciton of the semiconducting tube loses its peak structure under depolarization effects.