For the first time, high-flux CdZnTe (HF-CZT) sensors produced by REDLEN Inc. were characterized at the FXE instrument of the European XFEL. This study is focused on their response to X-ray pulses having MHz repetition and varying intensity in comparison to a ptype silicon sensor. Due to improved charge carrier dynamics, the response of the HF-CZT sensors did not show a strong indication of non-linear behavior or long-lasting afterglow.