This paper presents the final interpretation of the results from DELPHI on the searches for Higgs bosons in the minimal supersymmetric extension of the Standard Model (MSSM). A few representative scenarios are considered, that include CP conservation and explicit CP violation in the Higgs sector. The experimental results encompass the searches for neutral Higgs bosons at LEP1 and LEP2 in final states as expected in the MSSM, as well as LEP2 searches for charged Higgs bosons and for neutral Higgs bosons decaying into hadrons independent of the quark flavour. The data reveal no significant excess with respect to background expectations. The results are translated into excluded regions of the parameter space in the various scenarios. In the CP-conserving case, these lead to limits on the masses of the lightest scalar and pseudoscalar Higgs bosons, h and A, and on tan beta. The dependence of these limits on the top quark mass is discussed. Allowing for CP violation reduces the experimental sensitivity to Higgs bosons. It is shown that this effect depends strongly on the values of the parameters responsible for CP violation in the Higgs sector.