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Before enabling SPF and DKIM you will have to validate your domain in MailChimp.
Verify your domain - You've probably already done that
If not, you will have to log in to MailChimp, click on Verify Domain and follow the instructions. MailChimp will send you an email (to an email address that you provide, which has to be and email address using the domain that you would like to verify).
The email will contain a code which you have to paste back into MailChimp in order to verify the domain.
Once verified you will see a red cross under your domain showing that your domain has not been authenticated. If you click on the View Setup Instructions, a modal will appear showing you what CNAME record you need to create and the values for it in order to have DKIM configured.
The CNAME record needs to be entered in your DNS, so you will have to login into your DNS provider control panel. The CNAME record should look like this where you will change yoursite.com with your real domain name.
If you encounter any errors while creating the CNAME record, please refer to your DNS provider for help as they may not support some of the formatting of the record.
On the same modal window that appeared earlier for the CNAME you will have seen the instructions for setting up SPF as well. All you have to do is open that window again and copy and paste the information in your DNS. The SPF record will look similar to the record below:
v=spf1 include:servers.mcsv.net ?all
If you already have an existing SPF record in place all you have to do is copy the part “include:servers.mcsv.net” and append it to your current SPF record.
Once you have created your CNAME records and configured SPF, you should click on Authenticate Domain in the same modal window.
For more information please refer to MailChimp's guide on how to setup SPF and DKIM.