Dark matter accounts for about 85% of matter in the universe, but its nature remains mysterious for decades. Dark matter is likely elementary particles, but conventional cosmology neglects their quantum properties. In this talk, we present a novel and rather counter-intuitive quantum effect involving mixed particles -- the "Munchhausen effect" or "quantum evaporation". Namely, a particle confined in a gravitational potential and scattering off other particles from time to time, can gradually and irreversibly escape -- or "evaporate" -- from it without extra energy supply. Furthermore, we discuss how this effect alters the structure formation in the universe. Our first principles-based N-body numerical simulations demonstrate that such a multi-component dark matter model agrees with observational data much better than the conventional LambdaCDM. Moreover, it can simultaneously resolve several outstanding puzzles of modern cosmology, including the substructure and core-cusp problems. Time permitting, we discuss some predictions of the model for direct and indirect detection dark matter experiments.