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In this thesis, we examined the possibilities offered by multi-messengerastronomy in the context of indirect dark matter detection. We have applied amulti-wavelength strategy by studying different signals across theelectromagnetic spectrum (gamma-rays, X-rays, radio waves) produced atdifferent scales of the Universe (galactic, extragalactic, cosmic webfilaments).  In Part I, we obtained the first-ever prediction of the cross-correlationsignal between the extragalactic gamma-ray flux and the 21cm line emitted byhydrogen atoms in dark matter halos. We showed that the neutral hydrogendistribution is a highly competitive probe for dark matter searches, especiallyin view of the next-generation radio telescope Square Kilometre Array.  In Part II, we obtained the limits on the annihilation cross-section of darkmatter particles by comparing the X-ray flux measured by INTEGRAL with thetheoretical signal expected in the case of particles with a mass between 1 MeVand 5 GeV. We derived the most stringent constraints in the literature on suchparticles with a mass between 150 MeV and 1.5 GeV. The originality of this workresides in including the contribution from the scattering between thelow-energy photons in the Milky Way with the electrons and positrons, producedby dark matter particles.  In Part III, we focused on an exotic radio signal, emerging from the GLEAMsurvey, which seems compatible with a filament of the cosmic web and providesdirect evidence for one of the pillars of our understanding of structureformation in the Universe. This radio emission can be explained by dark mattercandidates with a mass in the range of 5-10 GeV, decaying into pairs ofelectrons and positrons.  This thesis contributes to a broad spectrum of research for particle darkmatter on different levels, since we considered different types of signals,multiple targets and different mass scales.

From gamma rays to radio waves: Dark Matter searches across the spectrum