Insight into fundamental light‐matter interaction as well as underlying photo‐physical processes is crucial for the development of novel optoelectronic devices. Palladium diselenide (PdSe2), an important representative of emerging 2D noble metal dichalcogenides, has gain considerable attention owing to its unique optical, physical, and chemical properties. In this study, 2D PdSe2 nanosheets (NSs) are prepared using the liquid‐phase exfoliation method. A broadband carrier relaxation dynamics from visible to near‐infrared bands are revealed using a time‐resolved transient absorption spectrometer, giving results that indicate band filling and bandgap renormalization (BGR) effects in the 2D PdSe2 NSs. The observed blue‐shift of the transient absorption spectra at the primary stage and the subsequent red‐shift can be ascribed to this BGR effect. These findings reveal the many‐body character of the 2D TMDs material and may hold keys for applications in the field of optoelectronics and ultrafast photonics.