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I have installed DKIM for my sendmail and I have also configured it. But I still see that my emails are being considered as spam by gmail. Also, I do not see the "key" in the emails (even if I unspam it manually in gmail).

I used the procedure listed here to configure DKIM.

Am I doing something wrong?

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What does /var/log/maillog say? – quanta Jun 8 '12 at 16:39
@quanta Nothing abnormal, it says it has sent the mail to the target email address – Abhishek Jun 8 '12 at 16:42
Does it say something like this "DKIM-Signature header added"? – quanta Jun 8 '12 at 16:44
@quanta No it doesn't but gmail shows "signed-by" doesn't show the key icon.. – Abhishek Jun 8 '12 at 16:58
Can you show the full headers of an e-mail sent out by your system. – EightBitTony Jun 8 '12 at 17:19

The fact that an email is DKIM signed does not exclude the fact that its content is not considered as spam. DKIM is a method that validates the sender and that the content is actually sent by the sender, not that the content itself is not to be considered as spam by some other classification method.

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Did you create TXT records on your domain for your DKIM public key? If not, there's no way for Gmail to validate it.

Do you have any SPF records setup to validate that your server can send emails from the domain? Is it configured correctly?

There are also tools on the internet that will help you troubleshoot issues. A search like "DKIM validator" should give you some tools to verify the DKIM record is visible.

Also, what do the headers say? Sometimes email servers add headers to indicate the reason why a message was sent to spam.

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