Dwarf Spheroidal galaxies are amongst the best targets to search for a Dark Matter annihilation signal. The annihilation of WIMPs in the center of Sagittarius dwarf spheroidal (Sgr dSph) galaxy would produce high energy gamma-rays in the final state. Observations carried out with the H.E.S.S. array of Imaging Atmospheric Cherenkov telescopes are presented. A careful modelling of the Dark Matter halo profile of Sgr dwarf was performed using latest measurements on its structural parameters. Constraints on the velocity-weighted cross section of Dark Matter particles are derived in the framework of Supersymmetric and Kaluza-Klein models.