We have assessed the influence of the stellar iron content on the Cepheid Period-Luminosity (PL) relation by relating the V band residuals from the Freedman et al. (2001) PL relation to [Fe/H] for 37 Galactic and Magellanic Clouds Cepheids. The iron abundances were measured from FEROS and UVES high-resolution and high-signal to noise optical spectra. Our data indicate that the stars become fainter as metallicity increases, until a plateau or turnover point is reached at about solar metallicity. Our data are incompatible with both no dependence of the PL relation on iron abundance, and with the linearly decreasing behavior often found in the literature (e.g. Kennicutt et al. 1998; Sakai et al. 2004). On the other hand, non-linear theoretical models of Fiorentino et al. (2002) provide a fairly good description of the data.