We present preliminary results of an observational campaign devoted at establishing the influence of chemical composition on the Cepheid Period-Luminosity relation. The data are in good agreement with theoretical predictions based on non-linear convective models, suggesting a fairly strong dependence of the Period-Luminosity relation on metallicity in the sense of more metal rich stars being intrinsically fainter than otherwise expected. Our data indicate that the error on the inferred distance can be as large as 10% if the role of metallicity is neglected.