The relaxation of electronic excitations in CdWO4 and CaWO4 crystals was studied using the method of time-resolved interferometry with 100-fs temporal resolution at temperatures 15–295 K. The electronic system was excited in the one-photon and two-photon regime within the excitonic band in CaWO4 and in the electron-hole continuum in CdWO4. Immediate trapping of charge carriers was detected under pumping in the excitonic band of CaWO4. This result is in agreement with decay kinetics measurements with nanosecond time resolution under direct creation of excitons by 100-fs laser pulses. Fast relaxation of charge carriers followed by formation of excitons was observed in CdWO4. The comparison with previous work allows suggesting the formation of bulk excitons and surface-perturbed excitons in the multi-photon and one-photon regime. The corresponding models of self-trapped exciton creation in tungstate crystals are discussed.