We examine indirect signals produced by neutralino self-annihilations, in the galactic halo or inside celestial bodies, in the frame of an effective MSSM model without gaugino-mass unification at a grand unification scale. We compare our theoretical predictions with current experimental data of gamma-rays and antiprotons in space and of upgoing muons at neutrino telescopes. Results are presented for a wide range of the neutralino mass, though our discussions are focused on light neutralinos. We find that only the antiproton signal is potentially able to set constraints on very low-mass neutralinos, below 20 GeV. The gamma-ray signal, both from the galactic center and from high galactic latitudes, requires significantly steep profiles or substantial clumpiness in order to reach detectable levels. The up-going muon signal is largely below experimental sensitivities for the neutrino flux coming from the Sun; for the flux from the Earth an improvement of about one order of magnitude in experimental sensitivities (with a low energy threshold) can make accessible neutralino masses close to O, Si and M g nuclei masses, for which resonant capture is operative.