We have determined the direct and exchange electron-electron and electron-hole Coulomb energies in CdSe/ZnSe quantum dots. The experiments are based on single dot photoluminescence at low temperature. By controlling the charging with a vertical transistor structure and by applying a symmetry-breaking magnetic field, we show how we can determine all the Coulomb energies. The direct Coulomb energies are responsible for large, ~20 meV, red-shifts of the emission on charging. The exchange Coulomb energies lead to a very pronounced fine structure splitting, up to 2.6 meV, for the neutral exciton. © 2006 WILEY-VCH Verlag GmbH & Co. KGaA.