We present here a nearly complete census of classical Cepheids in the Magellanic System. The sample extends the set of Cepheids published in the past by the Optical Gravitational Lensing Experiment (OGLE) to the outer regions of the Large (LMC) and Small Magellanic Cloud (SMC). The entire collection consists of 9535 Cepheids of which 4620 belong to the LMC and 4915 are members of the SMC. We provide the I- and V-band time-series photometry of the published Cepheids, their finding charts, and basic observational parameters. Based on this unique OGLE sample of Cepheids we present updated period-luminosity relations for fundamental, first, and second mode of pulsations in the I- and V-bands and for the WI extinction-free Wesenheit index. We also show the distribution of classical Cepheids in the Magellanic System. The OGLE collection contains several classical Cepheids in the Magellanic Bridge - the region of interaction between the Magellanic Clouds. The discovery of classical Cepheids and their estimated ages confirm the presence of young stellar population between these galaxies.