Set up SPF for Mailchimp

Mailchimp sends from its own domain by default, so SPF on your domain is only needed when you authenticate a custom sending domain.
In Mailchimp, go to Website → Domains and verify your domain.
Add the CNAME records Mailchimp provides for DKIM.
If you send via Mandrill, add include:spf.mandrillapp.com to your existing SPF record.

Confirm it worked

DNS changes take time to propagate. Check the record once you have published it.