Warm dense matter (WDM) is a ubiquitous state of matter encountered in various high energy density environments, at the frontier between a plasma and a condensed phase. It is key to astrophysics, planetary science and inertial confinement fusion research, but its electronic and ionic structure and dynamics remain poorly understood. Here, an intense and ultrafast X-ray free electron laser (XFEL) pulse is used to simultaneously create and characterize warm dense copper via L-edge X-ray absorption spectroscopy. The rich electron dynamics occurring within the 15-femtosecond pulse duration are revealed over a large irradiation intensity range. Below 1015 W cm-2, an absorption peak below the L-edge appears, originating from the depletion of the 3d band, and shows a distinct energy redshift with increasing intensity. This shift is a possible signature of ionization potential depression and electronic bond hardening. At higher intensities, massive ionization and collisions lead to the transition from reverse saturable absorption (opening absorption channels) to saturable absorption (material bleaching) of the XFEL pulse, an effect that holds promise for X-ray pulse shaping. The presented method is applicable to a wide range of materials and constitutes a robust benchmark for non-equilibrium models of electron dynamics in WDM.