The essential feature of many models with non-standard growth is the possible presence of Lavrentiev gap and related lack of regularity, non-density of smooth functions in the corresponding energy space. Finding assumptions for the presence of Lavrentiev phenomena is in particular important for regularity theory. We show that nonlocal and local-nonlocal models enjoy the presence of the energy gap. We obtain the optimal conditions separating the regular case from the one with Lavrentiev gap for the different types of nonlocal and mixed local-nonlocal double phase models. The obtained conditions show the sharpness of resent regularity results for nonlocal double-phase problems.