What is Dark Matter made of?

Part of the mystery of Dark Matter is that we know it is there– just not what it is.
In Discover magazine you can read about some of the top candidates:
https://www.discovermagazine.com/the-sciences/what-is-dark-matter-made-of-these-are-the-top-candidates. The primary candidate that XENON searches for is a Weakly Interacting Massive Particle (WIMP): Including our main spin-independent search, as well as further WIMP  interaction models. In addition, recent XENON analyses have constrained a number of alternative models, including Axion-like particles and dark photons.