The dependency of the Cepheid Period-Luminosity Relation on chemical composition at different wavelengths is assessed via direct detailed abundance analysis of Galactic and Magellanic Cepheids, as derived from high resolution, high signal-to-noise spectra. Our measurements span one order of magnitude in iron content and allow to rule out at the ~ 9 sigma level the universality of the Period-Luminosity Relation in the V band, with metal rich stars being fainter than metal poor ones by ~0.3 mag. The dependency is less pronounced in the K band. Its magnitude and statistical significance decisively depend on detailed distance measurements to individual stars, as inferred via the Infrared Surface Brightness Method.