The latest experimental results from the LHC and dark matter (DM) searches suggest that the parameter space allowed in supersymmetric theories is subject to strong reductions. These bounds are especially constraining for scenarios entailing light DM particles. Previous studies have shown that light neutralino DM in the Minimal Supersymmetric Standard Model (MSSM), with parameters defined at the electroweak scale, is still viable when the low energy spectrum of the model features light sleptons, in which case, the relic density constraint can be fulfilled. In view of this, we have investigated the viability of light neutralinos as DM candidates in the MSSM, with parameters defined at the grand unification scale. We have analysed the optimal choices of non-universalities in the soft supersymmetry-breaking parameters for both, gauginos and scalars, in order to avoid the stringent experimental constraints. We show that light neutralinos, with a mass as low as 25 GeV, are viable in supergravity scenarios if the gaugino mass parameters at high energy are very non universal, while the scalar masses can remain of the same order. These scenarios typically predict a very small cross section of neutralinos off protons and neutrons, thereby being very challenging for direct detection experiments. However, a potential detection of smuons and selectrons at the LHC, together with a hypothetical discovery of a gamma-ray signal from neutralino annihilations in dwarf spheroidal galaxies could shed light on this kind of solutions. Finally, we have investigated the naturalness of these scenarios, taking into account all the potential sources of tuning. Besides the electroweak fine-tuning, we have found that the tuning to reproduce the correct DM relic abundance and that to match the measured Higgs mass can also be important when estimating the total degree of naturalness.