Observations of the Sagittarius dwarf spheroidal (Sgr dSph) galaxy were carried out with the H.E.S.S. array of four imaging air Cherenkov telescopes in June 2006. A total of 11 hours of high quality data are available after data selection. There is no evidence for a very high energy gamma-ray signal above the energy threshold at the target position. A 95% C.L. flux limit of 3.6 x 10-12 cm-2s-1 above 250 GeV has been derived. Constraints on the velocity-weighted cross section <sigma v> are calculated in the framework of Dark Matter particle annihilation using realistic models for the Dark Matter halo profile of Sagittarius dwarf galaxy. Two different models have been investigated encompassing a large class of halo types. A 95% C.L. exclusion limit on <sigma v> of the order of 2 x 10-25 cm3s-1 is obtained for a core profile in the 100 GeV - 1 TeV neutralino mass range.
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