With the aid of stellar atmosphere models, we derive iron abundances [Fe/H] from the OGLE B, V, I photometry on the Magellanic Cloud Cepheids. We show that in both clouds the average metallicities of the first overtone variables are lower than those of the fundamental ones (by ~0.2 and ~0.3 dex in the LMC and SMC, respectively). Consequently, there is a correlation between the overall [Fe/H] and luminosity; the lower luminosity stars tend to be also of lower metallicity. These metallicity dependencies are concordant with the ones derived for the two types of double-mode Cepheids from pulsation theory. Yet another support of this dichotomy comes from the evolution theories that require lower metallicities for blue-looping low-luminosity stars than for high-luminosity ones. We also comment on the possibility of using period-luminosity-color relations to derive more accurate metallicities.