In this paper we introduce the notion of infinite dimensional Jacobi structure to describe the geometrical structure of a class of nonlocal Hamiltonian systems which appear naturally when applying reciprocal transformations to Hamiltonian evolutionary PDEs. We prove that our class of infinite dimensional Jacobi structures is invariant under the action of reciprocal transformations that only change the spatial variable. The main technical tool is in a suitable generalization of the classical Schouten–Nijenhuis bracket to the space of the so called quasi-local multi-vectors, and a simple realization of this structure in the framework of supermanifolds. These constructions are used to compute the Lichnerowicz–Jacobi cohomologies and to prove a Darboux theorem for Jacobi structures with hydrodynamic leading terms. We also introduce the notion of bi-Jacobi structures, and consider the integrability of a system of evolutionary PDEs that possesses a bi-Jacobi structure.