Context. The instability strip (IS) of classical Cepheids has been extensively studied theoretically. Comparing the theoretical IS edges with those obtained empirically, using the most recent Cepheids catalogs available, can provide us with insights into the physical processes that determine the position of the IS boundaries. Aims. We aim to investigate the empirical positions of the IS of the classical Cepheids in the Large Magellanic Cloud (LMC), considering any effect that increases its width, to obtain intrinsic edges that can be compared with theoretical models. Methods. We used data of classical fundamental-mode (F) and first-overtone (1O) LMC Cepheids from the OGLE-IV variable star catalog, together with a recent high-resolution reddening map from the literature. Our final sample includes 2058 F and 1387 1O Cepheids. We studied their position on the Hertzsprung-Russell diagram and determined the IS borders by tracing the edges of the color distribution along the strip. Results. We obtained the blue and red edges of the IS in V- and I-photometric bands, in addition to log Teff and log L. The results obtained show a break located at the Cepheids’ period of about three days, which was not reported before. We compared our empirical borders with theoretical ones published in the literature, obtaining a good agreement for specific parameter sets. Conclusions. The break in the IS borders is most likely explained by the depopulation of second- and third-crossing classical Cepheids in the faint part of the IS, since blue loops of evolutionary tracks in this mass range do not extend blueward enough to cross the IS at the LMC metallicity. Results from the comparison of our empirical borders with theoretical ones prove that our empirical IS is a useful tool for constraining theoretical models.