How can I show that if $\mathcal{L} = \emptyset$ then there is no such $\mathcal{L}$-sentence $\varphi$ that is true in every finite structure of even cardinality and false in every finite structure of odd cardinality?
I suppose I should prove it by contradiction (seems intuitively the right way) and use maybe Vaught's test or Godel's completeness theorem.
So I would begin like this: Suppose there is such $\varphi$ and let $\mathcal{M}$ be any finite $\mathcal{L}$-structure such that $\mathcal{M} \models \varphi$. Therefore $|M| = 2n$ for some positive natural number $n$ (...)
I would gladly appreciate some hints, because I have no clue how to solve.
You are right that we should aim for a contradiction*. Let's assume there is some $\varphi$ that is true in all finite structures of even cardinality and false in all finite structures of odd cardinality. For each $n$ let $\psi_n$ express "there are at least $n$ elements" (convince yourself that such $\psi_n$ exists). We define two sets of formulas: $$ \Sigma = \{\varphi\} \cup \{\psi_n : n \in \mathbb{N}\} $$ and $$ \Sigma' = \{\neg \varphi\} \cup \{\psi_n : n \in \mathbb{N}\}. $$ Clearly, $\Sigma$ is finitely satisfiable, as there are arbitrarily large sets of even cardinality (an $\mathcal{L}$-structure for $\mathcal{L} = \emptyset$ is just a set). So by compactness there is some infinite $X \models \Sigma$. Let $X_0 \preceq X$ be a countable elementary substructure (either use downward Löwenheim-Skolem, but that is overkill here, so you can also convince yourself that any countable $X_0 \subseteq X$ works). Similarly, there is some infinite $Y \models \Sigma'$ with a countable $Y_0 \preceq Y$. As $X_0$ and $Y_0$ are both countable, there is a bijection between them, which is an isomorphism, as we are just considering the empty language.
So now we have that $X \models \Sigma$, so $X \models \varphi$ and hence $X_0 \models \varphi$. Using the isomorphism we then get $Y_0 \models \varphi$ and thus $Y \models \varphi$. However, the latter contradicts $Y \models \neg \varphi$, which we get from $Y \models \Sigma'$. So we find our contradiction and conclude that no such $\varphi$ can exist.
*= This is technically not a proof by contradiction. Proofs of the form "assume $X$ ... contradiction, so not $X$" are just the way we prove negation. A proof by contradiction would start by assuming the negation and then getting a positive answer, so something like "assume not $X$ ... contradiction, so $X$".