We study the neutralino being the Lightest Supersymmetric Particle (LSP) as a cold Dark Matter (DM) candidate with a mass less than 40 GeV in the framework of the Next-to-Minimal-Supersymmetric-Standard-Model (NMSSM). We find that with the current collider constraints from LEP, the Tevatron and the LHC, there are three types of light DM solutions consistent with the direct/indirect searches as well as the relic abundance considerations: (i) A 1 , H 1 -funnels, (ii) stau coannihilation and (iii) sbottom coannihilation. Type-(i) may take place in any theory with a light scalar (or pseudo-scalar) near the LSP pair threshold; while Type-(ii) and (iii) could occur in the framework of Minimal-Supersymmetric-Standard-Model (MSSM) as well. We present a comprehensive study on the properties of these solutions and point out their immediate relevance to the experiments of the underground direct detection such as superCDMS and LUX/LZ, and the astro-physical indirect search such as Fermi-LAT. We also find that the decays of the SM-like Higgs boson may be modified appreciably and the new decay channels to the light SUSY particles may be sizable. The new light CP-even and CP-odd Higgs bosons will decay to a pair of LSPs as well as other observable final states, leading to interesting new Higgs phenomenology at colliders. For the light sfermion searches, the signals would be very challenging to observe at the LHC given the current bounds. However, a high energy and high luminosity lepton collider, such as the ILC, would be able to fully cover these scenarios by searching for events with large missing energy plus charged tracks or displaced vertices.