A new method is presented for measuring directly the dispersion spectrum of short‐lived transients, based on heterodyne transient grating spectroscopy. The light diffracted from a preformed thermal phase grating is used as a local oscillator, in phase with the light diffracted from the population phase grating. Time‐resolved dispersion spectra measured upon photoinduced electron transfer reaction between 9,10‐dicyano‐anthracene and anisole in acetonitrile are presented. These spectra and the corresponding absorption spectra obtained by Kramers‐Kronig transformation are compared with those deduced from the homodyne transient grating spectra. Potential applications of this technique are discussed.