We report sequential spin population of individual shell states of self-assembled InAs quantum dots controlled by a spin-polarized current from an Fe contact, and determine the s-p and p-d intershell exchange energies. We resolve excitonic features in the electroluminescence (EL) spectra associated with individual quantum levels. In contrast with simple models of shell occupation, the EL circular polarization exhibits maxima shifted with respect to the intensity peaks. Calculations show that this is due to intershell exchange. Exchange energies for the s-p and p-d shells are 7+/-2 and 13.5+/-1 meV, respectively.