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 68 Galactic and Magellanic Cloud 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. This behavior appears at odds both with the PL relation being independent from iron abundance and with Cepheids becoming monotonically brighter as metallicity increases (e.g. Kennicutt et al 1998, Sakai et al 2004).