Weak-scale supersymmetry is one of the most favoured theories beyond the Standard Model of particle physics that elegantly solves various theoretical and observational problems in both particle physics and cosmology. In this thesis, I describe the theoretical foundations of supersymmetry, issues that it can address and concrete supersymmetric models that are widely used in phenomenological studies. I discuss how the predictions of supersymmetric models may be compared with observational data from both colliders and cosmology. I show why constraints on supersymmetric parameters by direct and indirect searches of particle dark matter are of particular interest in this respect. Gamma-ray observations of astrophysical sources, in particular dwa...