We report a temperature-dependent optical spectroscopic study of the Heisenberg-Kitaev magnet alpha-RuCl3. Our measurements reveal anomalies in the optical response near the magnetic ordering temperature. At higher temperatures, we observe a redistribution of spectral weight over a broad energy range that is associated with nearest-neighbor spin-spin correlations. This finding is consistent with highly frustrated magnetic interactions and in agreement with theoretical expectations for this class of material. The optical data also reveal significant electron-hole interaction effects, including a bound excitonic state. These results demonstrate a clear coupling between charge and spin degrees of freedom and provide insight into the properties of thermally disordered Heisenberg-Kitaev magnets.