We present a study of Cd(2+)-for-Pb(2+) exchange in PbSe nanocrystals (NCs) with cube, star, and rod shapes. Prolonged temperature-activated cation exchange results in PbSe/CdSe heterostructured nanocrystals (HNCs) that preserve their specific overall shape, whereas the PbSe core is strongly faceted with dominance of {111} facets. Hence, cation exchange proceeds while the Se anion lattice is preserved, and well-defined {111}/{111} PbSe/CdSe interfaces develop. Interestingly, by quenching the reaction at different stages of the cation exchange new structures have been isolated, such as core-shell nanorods, CdSe rods that contain one or two separated PbSe dots and fully zinc blende CdSe nanorods. The crystallographically anisotropic cation exchange has been characterized by a combined HRTEM/HAADF-STEM study of heterointerface evolution over reaction time and temperature. Strikingly, Pb and Cd are only intermixed at the PbSe/CdSe interface. We propose a plausible model for the cation exchange based on a layer-by-layer replacement of Pb(2+) by Cd(2+) enabled by a vacancy-assisted cation migration mechanism.@en