We present a light-curve analysis of fundamental-mode Galactic and Large Magellanic Cloud (LMC) Cepheids based on the Fourier decomposition technique. We have compiled light-curve data for Galactic and LMC Cepheids in optical (VI), near-infrared (JHKs) and mid-infrared (3.6 and 4.5{mu}m) bands from the literature and determined the variation of their Fourier parameters as a function of period and wavelength. We observed a decrease in Fourier amplitude parameters and an increase in Fourier phase parameters with increasing wavelengths at a given period. We also found a decrease in the skewness and acuteness parameters as a function of wavelength at a fixed period. We applied a binning method to analyse the progression of the mean Fourier parameters with period and wavelength. We found that for periods longer than about 20d, the values of the Fourier amplitude parameters increase sharply for shorter wavelengths as compared to wavelengths longer than the J band. We observed the variation of the Hertzsprung progression with wavelength. The central period of the Hertzsprung progression was found to increase with wavelength in the case of the Fourier amplitude parameters and decrease with increasing wavelength in the case of phase parameters. We also observed a small variation of the central period of the progression between the Galaxy and LMC, presumably related to metallicity effects. These results will provide useful constraints for stellar pulsation codes that incorporate stellar atmosphere models to produce Cepheid light curves in various bands.