The application of femtosecond spectroscopy to the study of ultrafast dynamics in semiconductor materials and nanostructures is reviewed with particular emphasis on the physics that can be learned from it. Excitation with ultrashort optical pulses in general results in the creation of coherent superpositions and correlated many-particle states. The review comprises a discussion of the dynamics of this correlated many-body system during and after pulsed excitation as well as its analysis by means of refined measurements and advanced theories. After an introduction of basic concepts—such as coherence, correlation and quantum kinetics—a brief overview of the most important experimental techniques and theoretical approaches is given. The remainder of this paper is devoted to specific results selected in order to highlight how femtosecond spectroscopy gives access to the physics of coherences, correlations and quantum kinetics involving charge, spin and lattice degrees of freedom.First examples deal with the dynamics of basic laser-induced coherences that can be observed, e.g. in quantum beat spectroscopy, in coherent control measurements or in experiments using few-cycle pulses. The phenomena discussed here are basic in the sense that they can be understood to a large extent on the mean-field level of the theory. Nevertheless, already on this level it is found that semiconductors behave substantially differently from atomic systems. Subsequent sections report on the occurrence of coherences and correlations beyond the mean-field level that are mediated either by carrier-phonon or carrier-carrier interactions. The corresponding analysis gives deep insight into fundamental issues such as the energy-time uncertainty, pure dephasing in quantum dot structures, the role of two-pair or even higher correlations and the build-up of screening. Finally results are presented concerning the ultrafast dynamics of resonantly coupled excitations, where a combination of different interaction mechanisms is involved in forming new types of correlations. Examples are coupled plasmon-phonon and Bloch-phonon oscillations. The results reviewed in this paper clearly reveal the central role of many-particle correlations and coherences for the ultrafast dynamics of dense semiconductor systems. Both the presence of strong correlation effects and the formation of coherences in a genuine many-particle system have important implications for the controllability of optical signals from this class of materials, which is of utmost importance for applications in present-day and future optoelectronic devices.