The nature of dark matter is one of the most important questions of high energy physics, in the context of cosmology as well as particle physics. In this report, I present my work on the nature of dark matter in the context of the Minimal Supersymmetric extension of the Standard Model (MSSM). In particular, I consider scenarios in which the neutralino is the lightest supersymmetric particle, and confront them to experimental data from different sectors, such as cosmological measurements of dark matter density, dark matter direct detection, experimental data from LEP and Tevatron, constraints from flavour physics, experimental results from Higgs and Supersymmetry searches at the LHC. I show that the MSSM provides solutions compatible with all the considered constraints.