ZnTe/CdSe superlattices are II-VI heterostructures with a lattice mismatch less than 0.3%, so strain effects are expected to be negligible for ideal structures except for the two interface layers that consist of ZnSe and CdTe. Recent experiments indicated the exchange of whole atomic layers across the interfaces in ZnTe/CdSe superlattices despite the fact that more atomic layers near the interface would become strained. To understand such exchanges, first-principles pseudopotential studies of several different interface structures were performed. Total energies, band offsets, and band structures of superlattices with different atomic rearrangements at interfaces are studied and compared. Our results indicate that the exchange of cation atomic layers across an anion atomic layer in these superlattices is energetically favorable.