Polarization memory effect was found in the nonlinear photoluminescence band (hereinafter referred to as the X band) of semimagnetic semiconductor Cd0.8Mn0.2Te. The X band appears only when high‐density selective excitation of localized exciton has done. The origin of the X band is proposed as the high‐spin state of the dense magnetic polarons: in this state, every spins of electrons (holes) point one direction and this spin alignment leads to enhanced magnetic polaron effect. The inclusion of linearly polarized component of the X band, which is excited by the linearly polarized excitation laser, is confirmed from the analyzer dependence of the intensity of the X band. The characteristic oscillatory structure of the X band under magnetic field was explained by Faraday rotation of the X band and the structure is reproduced with supposition of step function like absorption. Polarization memory effect of the X band is confirmed by the behavior of the peak energy of the oscillatory structure; the structure varies with tilt of the polarization plane of the excitation laser. The polarization memory effect of the X band most likely originates from the sufficiently long phase relaxation time of the photoexcited electrons and holes of the X band. (© 2009 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)