Cosmological probes have a lot to tell us about the nature of the Dark Matter (DM) in our Universe. In this talk, I would like to review in particular how CMB temperature and polarization anisotropies can be used to look for signatures of decaying particles composing part (or all of) the DM. Moreover, I will discuss the great complementarity with CMB spectral distortions and Big Bang Nucleosynthesis studies. Finally, I will illustrate how the 21cm signal, one of the main target of future experiments, could be used in order to improve (but not always!) over current sensitivity.