We report the observation of dispersive spin excitons in the rare-earth magnetic Weyl semimetal NdAlSi through comprehensive thermodynamic and inelastic neutron scattering measurements. Notably, the behavior of spin excitons is strongly modulated by magnetic order: they remain dispersive in the paramagnetic phase, shift to higher energies and broaden in the incommensurate antiferromagnetic phase, and split into distinct branches in the commensurate ferrimagnetic phase. To elucidate the microscopic origin of this evolution, we construct an effective crystal electric field (CEF)–exchange model and calculate the excitation spectra within the random-phase approximation. This framework consistently accounts for the observed excitation dispersions and mode splitting by incorporating two magnetic-order-dependent effects: an effective renormalization of the local CEF environment associated with the concomitant reconstruction of the itinerant electronic structure across the magnetic phases, and exchange-generated molecular fields that lift the Kramers degeneracy. Our findings reveal the interplay among localized 4f states, itinerant electrons, and magnetic order, and establish NdAlSi as a model platform for studying collective CEF excitations in rare-earth quantum materials.