The persistent spectral hole-burning (PSHB) phenomenon was observed in semiconductor nanocrystals, CdSe, CuCl and CuBr, embedded in glass and crystal. In inhomogeneously broadened exciton absorption spectra of these materials due to the quantum size effect and the size distribution, the narrow bleaching hole and its associated structure were made by the narrow-band laser excitation and were conserved for more than several hours at 2 K after the laser irradiation. The observation of PSHB phenomenon in these four kinds of samples shows the generality of the phenomenon in semiconductor nanocrystals. Hole depth grew in proportion to logarithm of the burning fluence. Thermally-annealing and light-induced hole-filling phenomena were observed. Hole burning and hole filling mechanisms are discussed.