The pump‐probe Kerr rotation measurement of Cd0.8Mn0.2Te has revealed that the resonant excitation of free excitons is a more suitable method for angular momentum transfer from laser pulse to the exciton magnetic polaron than the band‐to‐band excitation. In the case of band‐to‐band excitation, a formation of macroscopic spin alignment of exciton magnetic polarons is suppressed by heat originating from excess energy of hot electron‐hole pairs and scatterings among the electron‐hole pairs. By contrast, in the case of the resonant excitation, the angular momentum of the laser is transferred to the spins of the exciton magnetic polarons even though the excitation density is higher than the Mott density. These results are consistent and supportive for our suggestion that the selective excitation of localized excitons with energy lower than that of free exciton leads to the high‐spin state of the high‐density exciton magnetic polaron. (© 2010 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)