Diluted magnetic semiconductors are materials well known to exhibit strong correlations which typically manifest in carrier-mediated magnetic ordering. In this Rapid Communication, we show that the interaction between excitons and magnetic impurities in these materials is even strong enough to cause a significant deviation from the bare exciton picture in linear absorption spectra of quantum well nanostructures. It is found that exciton-impurity correlations induce a characteristic fingerprint in the form of an additional feature close to the exciton resonance in combination with a shift of the main exciton line of up to a few meV. We trace back these features to the form of the self-energy and demonstrate that reliable values of the average correlation energy per exciton can be extracted directly from the spectra. Since the only requirement for our findings is sufficiently strong correlations, the results can be generalized to other strongly correlated systems.