If SPF is like a permission slip, DKIM is more of a secret passphrase/signature. It is a digital signature added to outgoing messages that lets receiving servers know that the email is actually from you (not someone posing as you).
DKIM, which stands for DomainKeys Identified Mail, is an email authentication method that allows the recipient to verify that an email message was indeed sent by the domain it claims to be from. This is achieved by adding a digital signature to the email header, which can be validated using the public key provided by the domain's DNS records.
Many of the most common email services like Gmail and Yahoo! Mail require your domain to have DKIM set up.
Go to the setup guide:
or
Go to the DKIM step: