This paper is devoted to probabilistic cellular automata (PCA) on N, Z or Z/nZ, depending of two neighbors, with a general alphabet E (finite or infinite, discrete or not).We study the following question: under which conditions does a PCA possess a Markov chain as invariant distribution? Previous results in the literature give some conditions on the transition matrix (for positive rate PCA) when the alphabet E is finite. Here we obtain conditions on the transition kernel of PCA with a general alphabet E. In particular, we show that the existence of an invariant Markov chain is equivalent to the existence of a solution to a cubic integral equation.One of the difficulties to pass from a finite alphabet to a general alphabet comes from some problems of measurability, and a large part of this work is devoted to clarify these issues.