The non-equilibrium carrier dynamics in HgCdTe has been studied with picosecond pump-probe measurements. The delay-time dependent differential transmission shows a negative minimum after the absorption saturation maximum, which can be attributed to an additional absorption process because of the deep levels. A rate equation formalism has been employed to model the carrier dynamics. The experimental differential transmission spectrum has been fitted very well with the calculations when two deep level relaxation time constants are introduced, implying two types of the deep levels. The variation of the relaxation time with the pump intensity has also been studied.