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The quest to find intelligent extraterrestrial life has captivated humanity for a long time, motivating the development of various strategies to search for signs of advanced civilizations. These strategies comprise multiple techniques and span different regions of the electromagnetic spectrum. One approach considers the existence of  Dyson spheres, one specific type of megastructure theorized by Freeman Dyson over sixty years ago. Dyson hypothesized that advanced civilizations would eventually outgrow their planetary resources and aim to collect the energy of their central star by building colossal structures to harness the star's energy. The potential existence of these structures represents a potential technosignature that might be hiding in large astronomical surveys, and this thesis revolves around exploring such a premise. First, we devote our search to assessing upper limits on the prevalence of Dyson spheres in the Milky Way by analyzing combined optical and mid-infrared photometric data. These upper limits are presented on the fraction of stars that may potentially host Dyson spheres and are model-dependent. We find robust limits of 1 over 100,000 stars for 300 K Dyson spheres at a 90% completion level within 100 pc. After that, we develop a pipeline especially tailored to identify potential Dyson sphere candidates in a sample of five million objects with available optical, near, and mid-infrared photometric data. This pipeline yields seven M dwarfs exhibiting anomalous infrared excess that deserve further analysis. Finally, we present an analysis of photometric and, in some cases, spectroscopic data on these seven objects, plus three additional sources sharing similar properties. The stellar parameters, derived from calibrated empirical relationships for M dwarfs, reveal no irregularities compared to the typical M dwarf population. While the infrared properties of our targets resemble, in some cases, those of young stars, spectroscopic data show no signs of youth usually observed for such objects. We still lack a clear explanation for the infrared excess of these stars, but we acknowledge that future follow-up observations could probe scenarios in which the infrared excess is due to circumstellar dust emission.