We present a comparative analysis of theoretical and observed light curves of Cepheid variables using Fourier decomposition. The theoretical light curves at multiple wavelengths are generated using stellar pulsation models for chemical compositions representative of Cepheids in the Galaxy and Magellanic Clouds. The observed light curves at optical (VI), near-infrared (JHKs) and mid-infrared (3.6 & 4.5-μm) bands are compiled from the literature. We discuss the variation of light curve parameters as a function of period, wavelength and metallicity. Theoretical and observed Fourier amplitude parameters decrease with increase in wavelength while the phase parameters increase with wavelength. We find that theoretical amplitude parameters obtained using canonical mass-luminosity levels exhibit a greater offset with respect to observations when compared to non-canonical relations. We also discuss the impact of variation in convective efficiency on the light curve structure of Cepheid variables. The increase in mixing length parameter results in a zero-point offset in bolometric mean magnitudes and reduces the systematic large difference in theoretical amplitudes with respect to observations.