Measurements of cosmic rays have revealed an intriguing excess of electrons and positrons at weak-scale energies, and motivated models of dark matter embedded in an expanded "dark sector". I will discuss a class of models which naturally and quantitatively explain the puzzling features of the cosmic ray data while maintaining the correct dark matter relic density. I will then describe how measurements of the cosmic microwave background can be used to set robust limits on dark matter annihilation in general, and in particular to probe models which fit the cosmic ray data.