Halide exchange in lead‐based halide perovskites has been studied extensively. While mixed Cl/Br or Br/I alloy compositions can be formed with no miscibility gaps, this is precluded for mixed Cl/I compositions, due to the large difference in Cl ⁻ and I ⁻ ionic radii. Here, perovskite‐chalcohalide CsPbCl ₃ –Pb ₄ S ₃ Cl ₂ nanocrystal heterostructures are exploited to study the Cl→I exchange and to isolate new types of intermediate structures. The epitaxial interface between the Pb ₄ S ₃ Cl ₂ chalcohalide and the CsPbCl ₃ perovskite significantly influences the intermediate stages of halide exchange in the perovskite domain, leading to coexisting CsPbCl ₃ and CsPbI ₃ domains, thereby delivering segmented CsPbI ₃ –CsPbCl ₃ –Pb ₄ S ₃ Cl ₂ , energetically favorable heterostructures, with partial I‐alloying of the CsPbCl ₃ domain and at the perovskite–chalcohalide interface. The I:CsPbCl ₃ domain between CsPbI ₃ and Pb ₄ S ₃ Cl ₂ enables a gradual lattice expansion across the heterostructure. This design accommodates interfacial strain, with a 5.6% mismatch at the CsPbCl ₃ –CsPbI ₃ interface and a 3.4% mismatch at the perovskite–chalcohalide interface. Full halide exchange leads to CsPbI ₃ –Pb ₄ S ₃ Cl ₂ heterostructures. Both in intermediate and fully exchanged heterostructures, the CsPbI ₃ domain is emissive. In the intermediate structures, the band alignment between the two perovskite domains is type‐I, with the carriers photogenerated in the CsPbCl ₃ domain quickly transferring to the CsPbI ₃ domain, where they can recombine radiatively.

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