We present a Raman study of the phonon spectra of periodical structures with (In,Ga)As QDs in (Al,Ga)As matrix as well as AlAs QDs embedded in InAs grown by molecular beam epitaxy. Raman scattering by optical, interface and acoustic phonons was observed in the QD structures. TO and LO phonons in the QDs are strongly affected by both strain and confinement. The Raman study reveals a two‐mode behavior of optical phonons in the whole composition range for both InGaAs QDs and the AlGaAs matrix. Raman scattering by InAs‐ and GaAs‐like LO phonons in InGaAs QDs shows a size‐selective resonant behaviour. Interface phonons were investigated in InGaAs QDs and the AlGaAs matrix. Their frequency positions were analyzed as a function of the alloy content within the dielectric continuum model. The positions of IF phonons in the QD structures observed in the experiment agree well with calculated ones assuming that the QDs have the shape of oblate ellipsoids. Multiple phonon Raman scattering involving both pure overtones of the first‐order InAs, GaAs and AlAs optical and interface phonons and combination of phonons from the materials is observed in the vicinity with E0 resonance in QDs. Possible mechanisms of these processes are discussed. Low frequency resonant Raman scattering by acoustic phonons was observed in the QD structures. The periodic oscillations seen in the Raman spectra are well described by the elastic continuum model. (© 2009 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)