Dark matter is one of the most fascinating open problems in modern physics. One convincing explanation is that it is composed of new particles, which are not included in the Standard Model. Dark matter particles can annihilate or decay and produce cosmic rays detectable with our present and future telescopes. It is reasonable to think that particles of different masses can produce different signals, therefore the study of different messengers can provide additional information about their properties. In my talk I will adopt a multi-wavelength approach that focuses on three different electromagnetic signals (gamma rays, X-rays and radio waves) produced by particles with a mass range from MeV to TeV, located in three different astrophysical environments (extragalactic, Galactic, inter-cluster).