We suggest that supercontinuum can be used for absorption spectroscopy to observe the exciton levels of a semiconductor nano-structure. Exciton absorption spectrum of a GaAs/AlGaAs quantum well was observed using supercontinuum generated by a microstructrured fiber pumped by a femtosecond (fs) pulsed laser. Significantly narrower peaks were observed in the absorption spectrum from 11 K up to room temperature than photoluminescence (PL) spectrum peaks. Because supercontinuum is coherent light and can readily provide high enough intensity, this method can provide a coherent ultra-broad band light source to identify exciton levels in semiconductors, and be applicable to coherent nonlinear spectroscopy such as electromagnetically induced transparency (EIT), lasing without inversion (LWI) and coherent photon control in semiconductor quantum structures.