The influence of the tunnel coupling on the steady‐state photoluminescence has been studied in Cd(Mg,Mn)Te‐based asymmetric double quantum wells (ADQWs) in a magnetic field up to B = 8 T. As grown structures were annealed to introduce Mn and Mg atoms from the opposite barriers inside pure CdTe quantum wells, resulting in a formation of the magnetic (MW) and nonmagnetic (NMW) wells, respectively. Radiative recombination in the ADQW with a wide barrier (9 nm) shows two bands, corresponding to excitons, localized in two decoupled QWs with a markedly different spin splitting: small splitting in the NMW due to the positive exciton Landé band g ‐factor and large splitting in the MW due to the giant Zeeman effect. Contrary, in the ADQW with a narrow barrier (3 nm) an unusual exciton splitting is observed with a negative value of the exciton g ‐factor and a strong circular polarization of the exciton bands. Simultaneously, a complete reduction of the MW emission is found, indicating strong interwell exciton relaxation. Calculations show that it is a strong electron coupling between the wells which is responsible for the observed behaviour. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)