Aims. High-resolution imaging in several photometric bands can provide color and astrometric information of the wide-orbit component of Cepheid stars. Such measurements are needed to understand the age and evolution of pulsating stars. In addition, binary Cepheids have the potential to provide direct and model-independent distances and masses. Methods. We used the NAOS-CONICA adaptive optics instrument (NACO) in the near-infrared to perform a deep search for wide components around the classical Cepheids, Y Oph, FF Aql, X Sgr, W Sgr, and η Aql, within a field of view of 1.7 × 1.7 (3.4 × 3.4 for η Aql). Results. We were able to reach contrast ∆H = 5-8 mag and ∆K s = 4-7 mag in the radius range r > 0.2 , which enabled us to constrain the presence of wide companions. For Y Oph, FF Aql, X Sgr, W Sgr, and η Aql at r > 0.2 , we ruled out the presence of companions with a spectral type that is earlier than a B7V, A9V, A9V, A1V, and G5V star, respectively. For 0.1 < r < 0.2 , no companions earlier than O9V, B3V, B4V, B2V, and B2V star, respectively, are detected. A component is detected close to η Aql at projected separation ρ = 654.7 ± 0.9 mas and a position angle PA = 92.8 ± 0.1• . We estimated its dereddened apparent magnitude to be m 0 H = 9.34 ± 0.04 and derived a spectral type that ranges between an F1V and an F6V star. Additional photometric and astrometric measurements are necessary to better constrain this star and check its physical association to the η Aql system.