We calculate the relic density of dark matter in the MSSM with CP violation. We analyse various scenarios of neutralino annihilation: the cases of a bino, bino-wino and bino-Higgsino LSP, annihilation through Higgs, as well as sfermion coannihilation scenarios. Large phase effects are found, on the one hand due to shifts in the masses, on the other hand due to modifications of the couplings. Taking special care to disentangle the effects in masses and couplings, we demonstrate that the presence of CP phases can have a significant influence on the neutralino relic abundance. Typical variations in \Omega h^2 solely from modifications in the couplings are O(10%-100%), but can reach an order of magnitude in some cases.
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