Abstract: There exists a vast literature examining the electroweak (EW) fine-tuning problem in supersymmetric scenarios, but little concerned with the dark matter (DM) one, which should be combined with the former. In this paper, we study this problem in an, as much as possible, exhaustive and rigorous way. We have considered the MSSM framework, assuming that the LSP is the lightest neutralino, chi(0)(1), and exploring the various possibilities for the mass and composition of chi(0)(1), as well as different mechanisms for annihilation of the DM particles in the early Universe (well-tempered neutralinos, funnels and co-annihilation scenarios). We also present a discussion about the statistical meaning of the fine-tuning and how it should be computed for the DM abundance, and combined with the EW fine-tuning. The results are very robust and model-independent and favour some scenarios (like the h-funnel when M-chi 10 is not too close to m(h)/2) with respect to others (such as the pure wino case). These features should be taken into account when one explores “natural SUSY” scenarios and their possible signatures at the LHC and in DM detection experiments.