The extreme confinement in 2D Transition Metal Dichalcogenides (TMDs) leads to the appearance of excitons with high binding energies (up to 0.5 eV). Low temperature and encapsulation in hBN narrow the exciton linewidths and reveal the full hydrogen-like exciton Rydberg series below the free particle gap [Phys. Rev. Lett. 113, 076802, 2014]. Rydberg excitons can also couple to free charges in the TMD, forming trions. Recently, ultrafast spectroscopy has been extensively used to explore exciton formation and relaxation dynamics of the lowest excitonic state (1s). Here we use pump-probe optical microscopy to measure the ultrafast dynamics of the 1s- and 2s-excitons and their relative trions in hBN-encapsulated monolayer WSe₂.  We clearly observe a faster formation of the 2s-exciton over the 1s state and different relaxation times. The difference in the formation timescale is the result of the exciton cascade process upon carrier photoexcitation at high-energy [Nat. Commun. 11, 5277, 2020], while longer decay dynamics for 2s excitons can be ascribed to a reduced exciton–phonon scattering due to their higher Bohr radius [Nanoscale, 11, 12381, 2019]. Our results show novel insights on the many-body physics of TMDs, opening up interesting opportunities for exploring Rydberg excitons for future opto-electronic applications.