Exciton formation and carrier-carrier interactions in semiconductor quantum dots have been investigated by means of terahertz time-domain spectroscopy. The formation of excitons leads to a blueshift of the terahertz absorption as compared to the bare electronic intersublevel absorption. We show that this is a consequence of Coulomb interactions among carriers in the quantum dots. Time-resolved studies reveal the time scale on which photogenerated electron-hole pairs in the GaAs barriers transform into confined excitons in the dots.