We present a detailed comparison between predicted and empirical PL_{I,K} relations and Wesenheit function for Galactic and Magellanic Clouds (MCs) First Overtone (FO) Cepheids. We find that zero-points predicted by Galactic Cepheid models based on a noncanonical (mild overshooting) Mass-Luminosity (ML) relation are in very good agreement with empirical zero-points based on HIPPARCOS parallaxes, while those based on canonical (no overshooting) ML relation are about 0.2-0.3 mag brighter. We also find that predicted and empirical PL_K relation and Wesenheit function give, according to optical (V,I OGLE) and near-infrared (NIR, K, 2mass) data, mean distances to the MCs that agree at the 2% level. Individual distances to the Large and the Small Cloud are: 18.53+-0.08-19.04+-0.11 (theory) and 18.48+-0.13-19.01+-0.13 (empirical). Moreover, predicted and empirical FO relations do not present, within the errors, a metallicity dependence. Finaly, we find that the upper limit in the FO period distribution is a robust observable to constrain the accuracy of pulsation models. Current models agree within 0.1 in log P with the observed FO upper limits.

13 pages, including 3 postscript figures, accepted for publication on ApJ