Chemical cues play a major role in the process of host selection by parasitoids, a process that has been discriminated into several steps such as habitat location, host location, and host acceptance. Egg parasitoids are known to rely on infochemicals of the adult host stage, e.g., pheromones, rather than cues emitted by the inconspicuous host eggs themselves. Here, we show that three different Trichogramma (Hymenoptera: Trichogrammatidae) species were attracted to the synthetic sex pheromone of the olive, Olea europea L., pest Prays oleae (Bern) (Lepidoptera: Yponomeutidae). In Y-tube olfactometer experiments, we revealed differences in the behavior of four tested Trichogramma strains to different concentrations of the host pheromone. Although wasps of Trichogramma oleae (Voegele & Poitale) (IO47) were significantly attracted to two concentrations of the host pheromone, another strain of the same species (IO24) did not show a response to any offered concentrations. Trichogramma cacoeciae Marchai females showed greatest attraction toward the pheromone to three of five offered concentrations. Bioassays with Trichogramma bourarachae Pintureau & Babault wasps showed a positive response of the parasitoids to three concentrations of the host pheromone. Detection of the moth sex pheromone may result in an enhanced searching effort by Trichogramma wasps in an area with host eggs and eventually lead to an increased parasitism rate of these eggs. The results of this research should help enhancing the efficacy of the use of Trichogramma wasps as biocontrol agents against the olive pest.