We present a theoretical investigation of multifilter (U,B,V, I and K) light and radial velocity curves of five Classical Cepheids in NGC 1866, a young massive cluster of the Large Magellanic Cloud. The best fit models accounting for the luminosity and radial velocity variations of the five selected variables, four pulsating in the fundamental mode and one in the first overtone, provide direct estimates of their intrinsic stellar parameters and individual distances. The resulting stellar properties indicate a slightly brighter Mass Luminosity relation than the canonical one, possibly due to mild overshooting and/or mass loss. As for the inferred distances, the individual values are consistent within the uncertainties. Moreover, their weighted mean value corresponds to a distance modulus of 18.56 + - 0.03 (stat) + - 0.1 (syst) mag, in agreement with several independent results in the literature.