Lead selenide (PbSe) nanorods are of interest for applications in infrared LEDs, lasers, and photovoltaics due to the possibility of tuning their band gap from the far- to the near-infrared by decreasing their radius. We study the photogeneration quantum yield and properties of free charges and excitons in PbSe nanorods using a combination of time-resolved transient optical absorption and terahertz spectroscopy. Photoexcitation predominantly leads to the formation of excitons and to a smaller extent to free mobile charges. Theoretical analysis of the exprimental data yields an exciton polarizability of 10^-35 C m² V^-1. The sum of the mobilities of a free electron and a hole is found to be close to 100 cm² V^-1 s^-1. The high quantum yield of excitons makes PbSe nanorods of interest as a gain material in near-infrared LEDs or lasers. To use PbSe nanorods in photovoltaics, heterojunctions must be realized so that excitons can dissociate into free charges.