Semi-Annual Report by Investment Company - Form N-CSRS

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number 811-22216

GAMCO Natural Resources, Gold & Income Trust

(Exact name of registrant as specified in charter)

One Corporate Center
Rye, New York 10580-1422

(Address of principal executive offices) (Zip code)

John C. Ball
Gabelli Funds, LLC
One Corporate Center
Rye, New York 10580-1422

(Name and address of agent for service)

Registrant's telephone number, including area code: 1-800-422-3554

Date of fiscal year end: December 31

Date of reporting period: June 30, 2022

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Reports to Stockholders.

(a)	The Report to Shareholders is attached herewith.

GAMCO Natural Resources, Gold & Income Trust

Semiannual Report-June 30, 2022

(Y)our Portfolio Management Team

Caesar M. P. Bryan	Vincent Hugonnard-Roche

To Our Shareholders,

For the six months ended June 30, 2022, the net asset value (NAV) total return of the GAMCO Natural Resources, Gold & Income Trust (the Fund) was (6.8)%, compared with total returns of (10.2)% and (15.4)% for the Chicago Board Options Exchange (CBOE) Standard & Poor's (S&P) 500 Buy/Write Index and the Philadelphia Gold & Silver (XAU) Index, respectively. The total return for the Fund's publicly traded shares was (9.3)%. The Fund's NAV per share was $5.46, while the price of the publicly traded shares closed at $4.69 on the New York Stock Exchange (NYSE). See page 4 for additional performance information.

Enclosed are the financial statements, including the schedule of investments, as ofJune 30, 2022.

Investment Objective and Strategy (Unaudited)

The GAMCO Natural Resources, Gold & Income Trust is a non-diversified, closed-end management investment company. The Fund's investment objective is to provide a high level of current income. The Fund's secondary investment objective is to seek capital appreciation consistent with the Fund's strategy and primary objective. Under normal market conditions, the Fund will attempt to achieve its objectives by investing 80% of its assets in equity securities of companies principally engaged in natural resource and gold industries, and by writing covered call options on the underlying equity securities.

As permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund's annual and semiannual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund's website (www.gabelli.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. To elect to receive all future reports on paper free of charge, please contact your financial intermediary, or, if you invest directly with the Fund, you may call 800-422-3554 or send an email request to [email protected].

The Fund's strategy is to invest at least 80% of its assets in securities of companies principally engaged in the natural resources and gold industries. The Fund will invest at least 25% of its assets in the securities of companies principally engaged in the exploration, production, or distribution of natural resources, such as base metals, metals, paper, food, agriculture, forestry products, water, gas, oil, sustainable energy, and other commodities as well as related transportation companies and equipment manufacturers. The Fund will invest at least 25% of its assets in the securities of companies principally engaged in the exploration, mining, fabrication, processing, distribution, or trading of gold or the financing, managing, controlling, or operating of companies engaged in "gold-related" activities.

Performance Discussion (Unaudited)

During the first half of the year, the commodity space experienced significant volatility, with a peak to trough in the range of 25% to 30%.

During the first quarter of 2022, gold bullion rose as much as 12.1% before giving back 11.4% finishing the first half year down 1.2%. After the United States weaponized the dollar following the Russian invasion of Ukraine and the Federal Reserve continued its bond buying program despite soaring inflation, the resurgence of positive real rates, bolstered by the increase in the Federal Funds rate (and the prospect of additional increases), got the best of the gold bullion rally. The gold mining companies, represented by the Philadelphia Gold and Silver Index (XAU), were up 20.1%, for the first quarter but collapsed 29.5% in the second quarter for a first half year performance down 15.3%, leaving the gold mining companies cheaply valued given the gold price.

The price of WTI oil ended the half year up 46.5% after reaching a top of $120 or increase of 66% before retreating. In fact, while global demand continues to recover, supplies have definitely not kept pace. During the period, OPEC marginally increased its production by 600 thousand barrels per day to 28.6 million barrels per day, while U.S. shale oil production finally reached the 12.0 million barrels per day mark. It is, of course, the Russian attack on Ukraine and the retaliatory sanctions that took the forefront and accounted for the upside volatility; however, much of that crude found its way at a discounted price to the Asian markets. The main commodity at stake in the sector is Russian natural gas, which accounts for 40% of Europe's energy demand and is a main stress point. By June, macroeconomic fears of recession had taken the forefront. On the equity side, energy-related equities, represented by the Energy Select Sector Index (IXE), added another 39.1% for the first quarter, followed by a 5.35% contraction in the second, to end the period up 31.6%.

The agriculture sector had its part in the volatility due to geopolitics. Ukraine is a large exporter of grains, and the sanctions imposed on Russia and Belarus' large producers of potash added new stress in the fertilizer sector. The fertilizer-related companies performed the best during the first quarter, with Mosaic (MOS) adding 69%, while the overall sector represented by the MVIS Global Agribusiness was up 9.7%. However, in the second quarter, this sector was also affected by the anticipation of a potential recession. While equipment manufacturers were hit hard, with the like of Deere (DE) down by -28%, so were the fertilizer companies, and Mosaic (MOS) gave back a large part of the performance of the year despite continued geopolitical tailwinds. Overall, the sector represented by the MVIS Global Agribusiness was down -17.3% in the second quarter and down -9.2% for the half year.

Volatility levels during the first half of the year remained elevated, with the gold sector at 42%, 47% for the base metals sector, 40% for agriculture, and 47% for energy equities. We are looking to balance upside and option premium in a difficult and highly volatile market. We have reduced the nominal exposure to cushion downside moves while increasing its upside participation. The maturity of the options portfolio stands on average

at 4.3 months. At the end of the second quarter, the Fund's participation across sectors was 52% for gold and mining, 56% for agriculture, and 64% for energy.

Some of our contributors to returns in the first half of 2022 included Northern Star Resources Ltd. (1.62% of total investment as of June 30,2022); Newmont Corp. (3.32%); and Yamana Gold Inc.(0.98%). Yamana received an all stock bid from Gold Fields, whose stock was pummeled after announcing the transaction, which eroded the bid premium. Otherwise, our Australian based gold producers were very weak, primarily due to concerns over labor availability, particularly in Western Australia, which had closed its borders during COVID.

The second quarter saw gold equities suffer greatly, with even the more defensive royalty companies and larger gold miners barely outperforming the gold equity averages. For example, our two large royalty holdings, Franco-Nevada Corp.(2.97%) and Wheaton Precious Metals Corp. (1.60%), declined by 17.6% and 24.3%, respectively. Osisko Gold Royalties (0.75%), another royalty company holding, fell by 30.0%.

The views expressed reflect the opinions of the Fund's portfolio managers and Gabelli Funds, LLC, the Adviser, as of the date of this report and are subject to change without notice based on changes in market, economic, or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Comparative Results

	Average Annual Returns through June 30, 2022(a) (Unaudited)
			Six Months		1 Year		3 year		5 year		10 year		Since Inception (1/27/11)
	GAMCO Natural Resources, Gold and Income Trust (GNT)
	NAV Total Return (b)			(6.75	)%			(4.07	)%			3.54	%			3.06	%			0.35	%			(1.37	)%
	Investment Total Return (c)			(9.31	)			(8.24	)			1.11				1.58				(1.18	)			(2.56	)
	CBOE S&P 500 Buy/Write Index			(10.19	)			(2.62	)			3.35				4.09				5.89				5.93
	Philadelphia Gold & Silver Index			(15.35	)			(19.91	)			11.09				7.77				(2.29	)			(0.38	)(d)
	Dow Jones U.S. Basic Materials Index			(15.68	)			(7.05	)			10.07				8.08				8.59				6.17	(d)
	S&P Global Agribusiness Equity Index			(0.87	)			7.03				12.25				9.79				8.38				6.37	(d)
	(a) Performance returns for periods of less than one year are not annualized. Returns represent past performance and do not guarantee future results. Investment returns and the principal value of an investment will fluctuate. The Fund's use of leverage may magnify the volatility of net asset value changes versus funds that do not employ leverage. When shares are sold, they may be worth more or less than their original cost. Current performance may be lower or higher than the performance data presented. Visit www.gabelli.com for performance information as of the most recent month end. The CBOE S&P 500 Buy/Write Index is an unmanaged benchmark index designed to reflect the return on a portfolio that consists of a long position in the stocks in the S&P 500 Index and a short position in a S&P 500 (SPX) call option. The Philadelphia Gold & Silver Index is an unmanaged indicator of stock market performance of large North American gold and silver companies. The Dow Jones U.S. Basic Materials Index measures the performance of the basic materials sector of the U.S. equity market. The S&P Global Agribusiness Equity Index is designed to provide exposure to twenty-four of the largest publicly traded agribusiness companies, comprised of a mix of Producers, Distributors & Processors, and Equipment & Materials Suppliers companies. Dividends are considered reinvested. You cannot invest directly in an index. (b) Total returns and average annual returns reflect changes in the NAV per share and reinvestment of distributions at NAV on the ex-dividend date and are net of expenses. Since inception return is based on an initial NAV of $19.06. (c) Total returns and average returns reflect changes in closing market values on the NYSE and reinvestment of distributions. Since inception return is based on an initial offering price of $20.00. (d) From January 31, 2011, the date closest to the Fund's inception for which data are available. Investors should carefully consider the investment objectives, risks, charges, and expenses of the Fund before investing.

Summary of Portfolio Holdings (Unaudited)

The following table presents portfolio holdings as a percent of total investments as of June 30, 2022:

GAMCO Natural Resources, Gold & Income Trust

The Fund files a complete schedule of portfolio holdings with the Securities and Exchange Commission (the SEC) for the first and third quarters of each fiscal year on Form N-PORT. Shareholders may obtain this information at www.gabelli.com or by calling the Fund at 800-GABELLI (800-422-3554). The Fund's Form N-PORT is available on the SEC's website at www.sec.gov and may also be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

Proxy Voting

The Fund files Form N-PX with its complete proxy voting record for the twelve months ended June 30, no later than August 31 of each year. A description of the Fund's proxy voting policies, procedures, and how each Fund voted proxies relating to portfolio securities is available without charge, upon request, by (i) calling 800-GABELLI (800-422-3554); (ii) writing to The Gabelli Funds at One Corporate Center, Rye, NY 10580-1422; or (iii) visiting the SEC's website at www.sec.gov.

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments - June 30, 2022 (Unaudited)

See accompanying notes to financial statements.

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) - June 30, 2022 (Unaudited)

See accompanying notes to financial statements.

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) - June 30, 2022 (Unaudited)

As of June 30, 2022, options written outstanding were as follows:

Description		Counterparty		Number of Contracts				Notional Amount	Exercise Price			Expiration Date		Market Value
OTC Call Options Written - (2.0)%
Agnico Eagle Mines Ltd.		Pershing LLC			135		USD				617,760		USD				70.00			10/21/22		$	4,716
Agnico Eagle Mines Ltd.		Pershing LLC			15		USD				68,640		USD				60.00			12/16/22			2,171
Agnico Eagle Mines Ltd.		Pershing LLC			80		USD				366,080		USD				70.00			12/16/22			5,097
Agnico Eagle Mines Ltd.		Pershing LLC			100		USD				457,600		USD				65.00			01/20/23			14,476
Agnico Eagle Mines Ltd.		Pershing LLC			60		USD				274,560		USD				70.00			01/20/23			5,001
Alamos Gold Inc., Cl. A		Pershing LLC			350		USD				245,700		USD				8.50			12/16/22			17,517
Alamos Gold Inc., Cl. A		Pershing LLC			360		USD				252,720		USD				10.00			12/16/22			9,468
Alamos Gold Inc., Cl. A		Pershing LLC			680		USD				477,360		USD				10.00			01/20/23			24,039
Alamos Gold Inc., Cl. A		Pershing LLC			750		USD				526,500		USD				8.50			03/17/23			56,922
APA Corp.		Pershing LLC			75		USD				261,750		USD				26.00			07/15/22			67,635
APA Corp.		Pershing LLC			37		USD				129,130		USD				50.00			10/21/22			4,946
Archer-Daniels-Midland Co.		Pershing LLC			120		USD				931,200		USD				80.00			09/16/22			43,565
Archer-Daniels-Midland Co.		Pershing LLC			110		USD				853,600		USD				87.50			11/18/22			28,521
Archer-Daniels-Midland Co.		Pershing LLC			120		USD				931,200		USD				85.00			01/20/23			52,364
B2Gold Corp.		Pershing LLC			1,150		USD				389,850		USD				5.00			10/21/22			7,803
B2Gold Corp.		Pershing LLC			1,140		USD				386,460		USD				4.30			12/16/22			20,601
B2Gold Corp.		Pershing LLC			1,150		USD				389,850		USD				5.00			01/20/23			13,325
Baker Hughes Co.		Pershing LLC			80		USD				230,960		USD				30.00			07/15/22			5,515
Baker Hughes Co.		Pershing LLC			70		USD				202,090		USD				32.00			09/16/22			9,591
Baker Hughes Co.		Pershing LLC			70		USD				202,090		USD				40.00			01/20/23			6,567
Barrick Gold Corp.		Pershing LLC			490		USD				866,810		USD				25.00			10/31/22			7,579
Barrick Gold Corp.		Pershing LLC			425		USD				751,825		USD				25.00			11/18/22			8,327
Barrick Gold Corp.		Pershing LLC			170		USD				300,730		USD				25.00			12/16/22			4,178
Barrick Gold Corp.		Pershing LLC			200		USD				353,800		USD				21.00			01/20/23			16,490
Barrick Gold Corp.		Pershing LLC			400		USD				707,600		USD				22.00			02/17/23			30,079
BHP Group Ltd., ADR		Pershing LLC			100		USD				561,800		USD				73.00			11/18/22			6,900
BHP Group Ltd., ADR		Pershing LLC			100		USD				561,800		USD				85.00			11/18/22			2,614
BHP Group Ltd., ADR		Pershing LLC			160		USD				898,880		USD				82.00			01/20/23			6,989
BP plc, ADR		Pershing LLC			140		USD				396,900		USD				32.00			11/18/22			17,287
BP plc, ADR		Pershing LLC			140		USD				396,900		USD				32.00			12/16/22			20,313
BP plc, ADR		Pershing LLC			106		USD				300,510		USD				32.50			01/20/23			16,601
Bunge Ltd.		Pershing LLC			50		USD				453,450		USD				100.00			07/15/22			1,840
Bunge Ltd.		Pershing LLC			50		USD				453,450		USD				102.50			10/21/22			15,747
CF Industries Holdings Inc.		Pershing LLC			50		USD				428,650		USD				100.00			11/18/22			31,154
CF Industries Holdings Inc.		Pershing LLC			50		USD				428,650		USD				100.00			01/20/23			41,410
Chevron Corp.		Pershing LLC			60		USD				868,680		USD				150.00			08/19/22			35,092
Chevron Corp.		Pershing LLC			75		USD				1,085,850		USD				165.00			11/18/22			40,898
Chevron Corp.		Pershing LLC			70		USD				1,013,460		USD				170.00			01/20/23			44,731
CNH Industrial NV		Pershing LLC			300		USD				347,700		USD				15.00			12/16/22			13,904
ConocoPhillips		Pershing LLC			50		USD				449,050		USD				105.00			08/19/22			9,029
ConocoPhillips		Pershing LLC			77		USD				691,537		USD				105.00			12/16/22			45,860
ConocoPhillips		Pershing LLC			25		USD				224,525		USD				102.50			01/20/23			19,207
Corteva Inc.		Pershing LLC			170		USD				920,380		USD				55.00			10/21/22			62,868
Coterra Energy Inc.		Pershing LLC			105		USD				270,795		USD				26.00			07/15/22			11,468
Coterra Energy Inc.		Pershing LLC			55		USD				141,845		USD				30.00			10/21/22			8,841
Coterra Energy Inc.		Pershing LLC			29		USD				74,791		USD				30.00			12/16/22			6,227
Deere & Co.		Pershing LLC			40		USD				1,197,880		USD				370.00			12/16/22			35,431
Deere & Co.		Pershing LLC			20		USD				598,940		USD				390.00			01/20/23			14,162
Devon Energy Corp.		Pershing LLC			65		USD				358,215		USD				60.00			10/21/22			32,507

See accompanying notes to financial statements.

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) - June 30, 2022 (Unaudited)

Description		Counterparty		Number of Contracts				Notional Amount	Exercise Price			Expiration Date		Market Value
Devon Energy Corp.		Pershing LLC			50		USD				275,550		USD				60.00			12/16/22		$	28,770
Diamondback Energy Inc.		Pershing LLC			7		USD				84,805		USD				142.65			09/16/22			3,609
Diamondback Energy Inc.		Pershing LLC			15		USD				181,725		USD				140.00			11/18/22			13,525
Diamondback Energy Inc.		Pershing LLC			10		USD				121,150		USD				155.00			01/20/23			6,927
Eldorado Gold Corp.		Pershing LLC			1,260		USD				805,140		USD				9.00			12/16/22			30,127
Eni SpA		Morgan Stanley			40		EUR				226,560		EUR				15.00			10/21/22			1,004
Eni SpA		Morgan Stanley			40		EUR				226,560		EUR				15.50			12/16/22			1,232
Eni SpA		Morgan Stanley			40		EUR				226,560		EUR				15.00			01/20/23			1,999
EOG Resources Inc.		Pershing LLC			42		USD				463,848		USD				127.00			10/21/22			25,941
EOG Resources Inc.		Pershing LLC			40		USD				441,760		USD				128.00			12/16/22			32,918
Exxon Mobil Corp.		Pershing LLC			93		USD				796,452		USD				91.00			07/15/22			9,884
Exxon Mobil Corp.		Pershing LLC			75		USD				642,300		USD				90.00			10/21/22			42,860
Exxon Mobil Corp.		Pershing LLC			60		USD				513,840		USD				95.00			10/21/22			23,734
Exxon Mobil Corp.		Pershing LLC			80		USD				685,120		USD				85.00			12/16/22			72,038
Exxon Mobil Corp.		Pershing LLC			55		USD				471,020		USD				92.00			01/20/23			37,430
Exxon Mobil Corp.		Pershing LLC			80		USD				685,120		USD				105.00			02/17/23			27,512
FMC Corp.		Pershing LLC			70		USD				749,070		USD				119.00			08/19/22			9,934
FMC Corp.		Pershing LLC			75		USD				802,575		USD				120.00			10/21/22			20,893
FMC Corp.		Pershing LLC			70		USD				749,070		USD				120.00			01/20/23			33,057
Franco-Nevada Corp.		Pershing LLC			90		USD				1,184,220		USD				155.00			11/18/22			32,535
Franco-Nevada Corp.		Pershing LLC			100		USD				1,315,800		USD				155.00			12/16/22			43,609
Freeport-McMoRan Inc.		Pershing LLC			195		USD				570,570		USD				40.00			10/21/22			13,797
Freeport-McMoRan Inc.		Pershing LLC			300		USD				877,800		USD				50.00			12/16/22			10,920
Freeport-McMoRan Inc.		Pershing LLC			250		USD				731,500		USD				51.00			01/20/23			10,975
Gold Fields Ltd., ADR		Pershing LLC			465		USD				424,080		USD				12.00			07/15/22			565
Gold Fields Ltd., ADR		Pershing LLC			465		USD				424,080		USD				10.50			11/18/22			34,331
Halliburton Co.		Pershing LLC			115		USD				360,640		USD				40.00			07/15/22			705
Halliburton Co.		Pershing LLC			60		USD				188,160		USD				40.00			12/16/22			10,569
Halliburton Co.		Pershing LLC			55		USD				172,480		USD				40.00			01/20/23			11,548
Hess Corp.		Pershing LLC			17		USD				180,098		USD				100.00			11/18/22			28,374
Hess Corp.		Pershing LLC			16		USD				169,504		USD				110.00			01/20/23			22,303
Kinder Morgan Inc.		Pershing LLC			225		USD				377,100		USD				19.00			09/16/22			5,083
Kinder Morgan Inc.		Pershing LLC			82		USD				137,432		USD				21.00			11/18/22			1,228
Kinder Morgan Inc.		Pershing LLC			237		USD				397,212		USD				21.00			12/16/22			4,854
Kinross Gold Corp.		Pershing LLC			794		USD				284,252		USD				6.00			09/16/22			1,930
Kinross Gold Corp.		Pershing LLC			800		USD				286,400		USD				6.00			12/16/22			6,862
Marathon Oil Corp.		Pershing LLC			200		USD				449,600		USD				24.00			10/21/22			50,195
Marathon Petroleum Corp.		Pershing LLC			45		USD				369,945		USD				82.50			07/15/22			14,225
Marathon Petroleum Corp.		Pershing LLC			22		USD				180,862		USD				87.50			10/21/22			13,529
Newmont Corp.		Pershing LLC			250		USD				1,491,750		USD				75.00			11/18/22			28,868
Newmont Corp.		Pershing LLC			244		USD				1,455,948		USD				75.00			12/16/22			32,587
Newmont Corp.		Pershing LLC			255		USD				1,521,585		USD				75.00			02/17/23			51,135
Northern Star Resources Ltd.		Morgan Stanley			1,100		AUD				752,400		AUD				11.25			08/18/22			908
Nutrien Ltd.		Pershing LLC			130		USD				1,035,970		USD				83.00			09/16/22			70,712
Nutrien Ltd.		Pershing LLC			144		USD				1,147,536		USD				97.00			12/16/22			50,594
ONEOK Inc.		Pershing LLC			45		USD				249,750		USD				63.00			11/18/22			7,401
ONEOK Inc.		Pershing LLC			40		USD				222,000		USD				70.00			01/20/23			5,014
Osisko Gold Royalties Ltd.		Pershing LLC			240		USD				242,400		USD				13.75			07/15/22			1,992
Osisko Gold Royalties Ltd.		Pershing LLC			300		USD				303,000		USD				14.00			10/21/22			8,491
Osisko Gold Royalties Ltd.		Pershing LLC			240		USD				242,400		USD				12.25			12/16/22			14,042
Osisko Gold Royalties Ltd.		Pershing LLC			155		USD				156,550		USD				14.50			01/20/23			7,625
Osisko Gold Royalties Ltd.		Pershing LLC			300		USD				303,000		USD				16.00			01/20/23			13,191

See accompanying notes to financial statements

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) - June 30, 2022 (Unaudited)

Description		Counterparty		Number of Contracts			Notional Amount	Exercise Price			Expiration Date		Market Value
Phillips 66		Pershing LLC			42		USD				344,358		USD				92.50			11/18/22		$	20,102
Phillips 66		Pershing LLC			40		USD				327,960		USD				105.00			01/20/23			13,087
Phillips 66		Pershing LLC			35		USD				286,965		USD				107.00			03/17/23			11,952
Pioneer Natural Resources Co.		Pershing LLC			20		USD				446,160		USD				230.00			09/16/22			30,329
Pioneer Natural Resources Co.		Pershing LLC			19		USD				423,852		USD				280.00			12/16/22			14,636
Rio Tinto plc, ADR		Pershing LLC			170		USD				1,037,000		USD				86.88			07/15/22			154
Rio Tinto plc, ADR		Pershing LLC			85		USD				518,500		USD				74.30			10/21/22			7,741
Rio Tinto plc, ADR		Pershing LLC			170		USD				1,037,000		USD				82.00			10/21/22			7,247
Rio Tinto plc, ADR		Pershing LLC			150		USD				915,000		USD				84.00			12/16/22			9,891
Rio Tinto plc, ADR		Pershing LLC			85		USD				518,500		USD				72.00			01/20/23			18,784
Royal Gold Inc.		Pershing LLC			15		USD				160,170		USD				115.00			01/20/23			11,683
Schlumberger NV		Pershing LLC			74		USD				264,624		USD				45.00			10/21/22			9,882
Schlumberger NV		Pershing LLC			110		USD				393,360		USD				47.00			12/16/22			17,826
Schlumberger NV		Pershing LLC			90		USD				321,840		USD				47.00			01/20/23			17,403
Shell plc, ADR		Pershing LLC			120		USD				25,608,000		USD				60.00			10/21/22			17,731
Shell plc, ADR		Pershing LLC			100		USD				2,134,000		USD				58.00			12/16/22			26,397
Shell plc, ADR		Pershing LLC			110		USD				23,474,000		USD				60.00			02/17/23			29,472
SilverCrest Metals Inc.		Pershing LLC			315		USD				192,465		USD				9.00			10/21/22			6,074
SilverCrest Metals Inc.		Pershing LLC			315		USD				192,465		USD				9.35			12/16/22			8,521
SSR Mining Inc.		Pershing LLC			200		USD				334,000		USD				20.00			09/16/22			10,662
SSR Mining Inc.		Pershing LLC			190		USD				317,300		USD				23.00			01/20/23			14,204
Suncor Energy Inc.		Pershing LLC			55		USD				192,885		USD				37.00			11/18/22			18,439
Suncor Energy Inc.		Pershing LLC			45		USD				157,815		USD				40.00			12/16/22			11,328
Suncor Energy Inc.		Pershing LLC			55		USD				192,885		USD				41.00			01/20/23			14,059
The Mosaic Co.		Pershing LLC			65		USD				306,995		USD				80.00			10/31/22			4,589
The Williams Companies Inc.		Pershing LLC			90		USD				280,890		USD				33.00			11/18/22			15,755
The Williams Companies Inc.		Pershing LLC			60		USD				187,260		USD				35.00			01/20/23			8,491
The Williams Companies Inc.		Pershing LLC			80		USD				249,680		USD				38.00			03/17/23			7,839
TotalEnergies SE, ADR		Pershing LLC			70		USD				368,480		USD				55.00			10/21/22			18,747
TotalEnergies SE, ADR		Pershing LLC			80		USD				421,120		USD				60.00			11/18/22			12,629
TotalEnergies SE, ADR		Pershing LLC			150		USD				789,600		USD				64.00			12/16/22			17,151
Tyson Foods Inc., Cl. A		Pershing LLC			120		USD				1,032,720		USD				95.00			11/18/22			27,204
Valero Energy Corp.		Pershing LLC			30		USD				318,840		USD				95.00			09/16/22			50,174
Valero Energy Corp.		Pershing LLC			16		USD				170,048		USD				140.00			12/16/22			7,005
Valero Energy Corp.		Pershing LLC			32		USD				340,096		USD				105.00			01/20/23			51,649
Wesdome Gold Mines Ltd.		Pershing LLC			340		CAD				379,100		CAD				13.00			01/20/23			18,490
Wheaton Precious Metals Corp.		Pershing LLC			200		USD				720,600		USD				47.00			09/16/22			4,466
Wheaton Precious Metals Corp.		Pershing LLC			200		USD				720,600		USD				50.00			10/21/22			4,936
Wheaton Precious Metals Corp.		Pershing LLC			200		USD				720,600		USD				52.50			12/16/22			7,709
Yamana Gold Inc.		Pershing LLC			760		USD				353,400		USD				5.00			07/15/22			6,837
Yamana Gold Inc.		Pershing LLC			850		USD				395,250		USD				5.50			10/21/22			21,766
Yamana Gold Inc.		Pershing LLC			480		USD				223,200		USD				5.50			12/16/22			16,952
Zoetis Inc.		Pershing LLC			56		USD				962,584		USD				200.00			09/16/22			10,783
Zoetis Inc.		Pershing LLC			17		USD				292,213		USD				206.00			12/16/22			4,958
TOTAL OTC CALL OPTIONS WRITTEN																						$	2,707,398
OTC Put Options Written - (0.6)%
Energy Select Sector SPDR ETF		Pershing LLC			300		USD				2,145,300		USD				66.00			11/30/22		$	158,710
Energy Select Sector SPDR ETF		Pershing LLC			275		USD				1,966,525		USD				63.00			02/17/23			148,194
Fresnillo plc		Morgan Stanley			40		GBP				306,720		GBp				600.00			12/16/22			13,573
VanEck Agribusiness ETF		Pershing LLC			140		USD				1,210,720		USD				94.00			01/20/23			150,528

See accompanying notes to financial statements.

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) - June 30, 2022 (Unaudited)

Description

Counterparty

Number of Contracts

Notional Amount

Exercise Price

Expiration Date

Market Value

VanEck Vectors Gold Miners ETF

Pershing LLC

700

USD

1,916,600

USD

31.00

10/21/22

$

320,978

TOTAL OTC PUT OPTIONS WRITTEN

$

791,983

Description		Number of Contracts				Notional Amount	Exercise Price			Expiration Date		Market Value
Exchange Traded Call Options Written - (0.4)%
AGCO Corp.			50		USD				493,500		USD				140.00			08/19/22		$	12,000
CNH Industrial NV			300		USD				347,700		USD				17.50			01/20/23			7,500
Corteva Inc.			100		USD				541,400		USD				60.00			12/16/22			26,500
Corteva Inc.			115		USD				622,610		USD				60.00			01/20/23			34,788
Dundee Precious Metals Inc.			375		CAD				240,375		CAD				9.50			09/16/22			2,768
Dundee Precious Metals Inc.			350		CAD				224,350		CAD				9.50			12/16/22			4,486
Eldorado Gold Corp.			470		USD				300,330		USD				10.00			01/20/23			9,400
Endeavour Mining plc			200		CAD				532,600		CAD				33.00			12/16/22			13,129
Endeavour Mining plc			200		CAD				532,600		CAD				35.00			12/16/22			8,856
Endeavour Mining plc			380		CAD				1,011,940		CAD				33.00			01/20/23			30,850
Endeavour Mining plc			91		CAD				242,333		CAD				34.00			03/17/23			8,307
Equinox Gold Corp.			429		USD				190,476		USD				10.00			01/20/23			5,148
Franco-Nevada Corp.			114		USD				1,500,012		USD				155.00			01/20/23			68,400
Halliburton Co.			65		USD				203,840		USD				40.00			09/16/22			4,745
IDEXX Laboratories Inc.			23		USD				806,679		USD				600.00			07/15/22			11,040
IDEXX Laboratories Inc.			23		USD				806,679		USD				550.00			10/21/22			5,865
IDEXX Laboratories Inc.			23		USD				806,679		USD				620.00			12/16/22			5,980
K92 Mining Inc.			670		CAD				520,590		CAD				11.00			11/18/22			9,890
Marathon Petroleum Corp.			21		USD				172,641		USD				97.50			01/20/23			12,411
Occidental Petroleum Corp.			50		USD				294,400		USD				55.00			08/19/22			38,750
Occidental Petroleum Corp.			15		USD				88,320		USD				60.00			12/16/22			14,520
Occidental Petroleum Corp.			30		USD				176,640		USD				72.50			01/20/23			18,300
The Mosaic Co.			60		USD				283,380		USD				50.00			09/16/22			24,900
The Mosaic Co.			90		USD				425,070		USD				60.00			12/16/22			32,850
The Mosaic Co.			55		USD				259,765		USD				75.00			01/20/23			9,625
VanEck Vectors Gold Miners ETF			300		USD				821,400		USD				35.00			12/16/22			24,900
Victoria Gold Corp.			220		CAD				219,780		CAD				20.00			12/16/22			2,222
Victoria Gold Corp.			220		CAD				219,780		CAD				17.50			02/17/23			3,931
Wesdome Gold Mines Ltd.			161		CAD				179,515		CAD				15.00			12/16/22			3,377
Yamana Gold Inc.			760		USD				353,400		USD				6.00			01/20/23			21,660
Zoetis Inc.			70		USD				1,203,230		USD				210.00			07/15/22			1,400
Zoetis Inc.			80		USD				1,375,120		USD				210.00			10/21/22			9,400
TOTAL EXCHANGE TRADED CALL OPTIONS WRITTEN																				$	487,898
Exchange Traded Put Options Written - (0.9)%
Energy Select Sector SPDR ETF			360		USD				2,574,360		USD				65.00			10/21/22		$	141,840
Energy Select Sector SPDR ETF			305		USD				2,181,055		USD				66.00			01/20/23			192,150
NextEra Energy Partners LP			90		USD				667,440		USD				65.00			07/15/22			3,600
NextEra Energy Partners LP			90		USD				667,440		USD				70.00			10/21/22			35,100
NextEra Energy Partners LP			90		USD				667,440		USD				65.00			12/16/22			23,175
SPDR S&P 500 ETF Trust			22		USD				829,950		USD				385.00			10/21/22			52,492
SPDR S&P 500 ETF Trust			23		USD				867,675		USD				360.00			11/18/22			37,605
SPDR S&P 500 ETF Trust			25		USD				943,125		USD				375.00			11/18/22			54,725
SPDR S&P 500 ETF Trust			20		USD				754,500		USD				410.00			12/16/22			84,000
SPDR S&P 500 ETF Trust			20		USD				754,500		USD				380.00			01/20/23			55,600
Utilities Select Sector SPDR Fund			280		USD				1,963,640		USD				62.00			09/16/22			16,800

See accompanying notes to financial statements.

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) - June 30, 2022 (Unaudited)

Description		Number of Contracts				Notional Amount	Exercise Price			Expiration Date		Market Value
Utilities Select Sector SPDR Fund			140		USD				981,820		USD				68.00			12/16/22		$	42,840
Utilities Select Sector SPDR Fund			100		USD				701,300		USD				72.00			12/16/22			47,600
VanEck Agribusiness ETF			120		USD				1,037,760		USD				83.00			08/19/22			31,200
VanEck Agribusiness ETF			130		USD				1,124,240		USD				98.00			11/18/22			165,100
VanEck Vectors Gold Miners ETF			700		USD				1,916,600		USD				28.00			01/20/23			234,500
TOTAL EXCHANGE TRADED PUT OPTIONS WRITTEN																				$	1,218,327
TOTAL OPTIONS WRITTEN																				$	5,205,606

See accompanying notes to financial statements.

GAMCO Natural Resources, Gold & Income Trust

See accompanying notes to financial statements.

GAMCO Natural Resources, Gold & Income Trust

Statement of Changes in Net Assets Attributable to Common Shareholders

		Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021
Operations:
Net investment income		$	672,487			$	1,519,701
Net realized gain/(loss) on investments in securities, securities sold short, written options, and foreign currency transactions			(5,424,415	)			5,279,388
Net change in unrealized appreciation/depreciation on investments in securities, written options, and foreign currency translations			(1,927,382	)			2,906,999
Net Increase/(Decrease) in Net Assets Resulting from Operations			(6,679,310	)			9,706,088
Distributions to Preferred Shareholders:
Accumulated earnings			(760,566	)*			(1,448,100	)
Return of capital			-				(73,033	)
Total Distributions to Preferred Shareholders			(760,566	)			(1,521,133	)
Net Increase/(Decrease) in Net Assets Attributable to Common Shareholders Resulting from Operations			(7,439,876	)			8,184,955
Distributions to Common Shareholders:
Accumulated earnings			(24,041	)*			-
Return of capital			(3,365,802	)*			(6,890,575	)
Total Distributions to Common Shareholders			(3,389,843	)			(6,890,575	)
Fund Share Transactions:
Net decrease from repurchase of common shares			(2,606,277	)			(4,517,773	)
Net Decrease in Net Assets from Fund Share Transactions			(2,606,277	)			(4,517,773	)
Net Decrease in Net Assets Attributable to Common Shareholders			(13,435,996	)			(3,223,393	)
Net Assets Attributable to Common Shareholders:
Beginning of year			114,396,629				117,620,022
End of period		$	100,960,633			$	114,396,629

*	Based on year to date book income. Amounts are subject to change and recharacterization at year end.

See accompanying notes to financial statements.

GAMCO Natural Resources, Gold & Income Trust

Financial Highlights

Selected data for a common share of beneficial interest outstanding throughout each period:

		Six Months Ended June 30, 2022			Year Ended December 31,
		(Unaudited)			2021			2020			2019			2018			2017
Operating Performance:
Net asset value, beginning of year		$	6.03			$	5.93			$	6.16			$	5.72			$	7.11			$	7.14
Net investment income			0.05				0.08				0.02				0.03				0.06				0.05
Net realized and unrealized gain/(loss) on investments and foreign currency transactions			(0.42	)			0.46				0.26				1.08				(0.78	)			0.59
Total from investment operations			(0.37	)			0.54				0.28				1.11				(0.72	)			0.64
Distributions to Preferred Shareholders: (a)
Net investment income			(0.04	)*			(0.08	)			(0.05	)			(0.05	)			(0.06	)			(0.01	)
Return of capital			-				(0.00	)(b)			(0.02	)			(0.02	)			(0.01	)			-
Total distributions to preferred shareholders			(0.04	)			(0.08	)			(0.07	)			(0.07	)			(0.07	)			(0.01	)
Net Increase/(Decrease) in Net Assets Attributable to Common Shareholders Resulting from Operations			(0.41	)			0.46				0.21				1.04				(0.79	)			0.63
Distributions to Common Shareholders:
Net investment income			(0.00	)*(b)			-				-				-				-				(0.06	)
Return of capital			(0.18	)*			(0.36	)			(0.48	)			(0.60	)			(0.60	)			(0.54	)
Total distributions to common shareholders			(0.18	)			(0.36	)			(0.48	)			(0.60	)			(0.60	)			(0.60	)
Fund Share Transactions:
Increase in net asset value from common share transactions			-				-				-				0.00	(b)			-				0.00	(b)
Increase in net asset value from repurchase of common shares			0.02				0.03				0.04				0.00	(b)			-				-
Increase in net asset value from repurchase of preferred shares			-				-				0.00	(b)			0.00	(b)			0.00	(b)			-
Offering costs for preferred shares charged to paid-in capital			-				-				-				-				-				(0.06	)
Total Fund share transactions			0.02				0.03				0.04				0.00	(b)			0.00	(b)			(0.06	)
Net Asset Value Attributable to Common Shareholders, End of Period		$	5.46			$	6.03			$	5.93			$	6.16			$	5.72			$	7.11
NAV total return †			(6.75	)%			7.94	%			5.22	%			19.04	%			(11.75	)%			8.29	%
Market value, end of period		$	4.69			$	5.35			$	5.11			$	5.96			$	4.95			$	6.71
Investment total return ††			(9.31	)%			12.01	%			(5.56	)%			33.64	%			(18.56	)%			9.59	%
Ratios to Average Net Assets and Supplemental Data:
Net assets including liquidation value of
preferred shares, end of period (in 000's)		$	130,213			$	143,649			$	146,873			$	158,002			$	149,051			$	178,668
Net assets attributable to common shares, end of period (in 000's)		$	100,961			$	114,397			$	117,620			$	128,669			$	119,466			$	148,668
Ratio of net investment income to average net assets attributable to common shares before preferred distributions			1.69	%(c)			1.33	%			0.46	%			0.45	%			0.93	%			0.74	%
Ratio of operating expenses to average net assets attributable to common shares (d)(e)(f)			1.78	%(c)			1.80	%			1.94	%			1.72	%			1.68	%			1.38	%
Portfolio turnover rate			83	%			109	%			95	%			109	%			167	%			238	%

See accompanying notes to financial statements.

GAMCO Natural Resources, Gold & Income Trust

Financial Highlights (Continued)

Selected data for a common share of beneficial interest outstanding throughout each period:

		Six Months Ended June 30, 2022			Year Ended December 31,
		(Unaudited)			2021			2020			2019			2018			2017
Cumulative Preferred Shares:
5.200% Series A Preferred
Liquidation value, end of period (in 000's)		$	29,253			$	29,253			$	29,253			$	29,333			$	29,585			$	30,000
Total shares outstanding (in 000's)			1,170				1,170				1,170				1,173				1,183				1,200
Liquidation preference per share		$	25.00			$	25.00			$	25.00			$	25.00			$	25.00			$	25.00
Average market value (g)		$	24.48			$	25.87			$	25.44			$	24.66			$	23.56			$	24.92
Asset coverage per share		$	111.28			$	122.77			$	125.52			$	134.66			$	125.95			$	148.89
Asset Coverage			445	%			491	%			502	%			539	%			504	%			596	%

†	Based on net asset value pershare, adjusted for reinvestment ofdistributions at thenet asset value per share on the ex-dividenddates. Total return for a period of less than oneyear is not annualized.

††	Based onmarket value per share, adjusted for reinvestment ofdistributions at pricesobtained under the Fund's dividend reinvestment plan.Total return for a periodof less than oneyear is not annualized.

*	Based on year todate bookincome. Amounts are subjectto changeand recharacterization at year end.

(a)	Calculated based on averagecommon sharesoutstanding on therecord datesthroughout theperiods.

(b)	Amount representsless than $0.005 pershare.

(c)	Annualized.

(d)	The Fundreceived credits from a designated broker who agreed to paycertain Fund operatingexpenses. For all years presented, therewas no impact on the expense ratios.

(e)

Ratio of operating expenses to averagenet assets attributableto common sharesexcluding interest and dividend expenseand servicefees onsecurities soldshort for the sixmonths ended June 30, 2022and the years ended December31, 2021, 2020, 2019, 2018, and 2017 was 1.77%, 1.79%, 1.88%, 1.69%, 1.67%, and 1.36%,respectively, and1.41%, 1.42%, 1.50%, 1.36%, 1.37%, and 1.31% includingliquidation value ofpreferred sharesfor thesix months endedJune 30, 2022 and the yearsended December 31, 2021, 2020, 2019, 2018,and 2017.

(f)	Ratio of operatingexpenses to average net assets including liquidation value of preferred sharesfor thesix months ended June 30, 2022and the years endedDecember 31, 2021, 2020, 2019, 2018,and 2017 would have been1.42%, 1.43%, 1.55%, 1.39%, 1.38%,and 1.33%, respectively.

(g)	Based onweekly prices.

See accompanying notes to financial statements.

GAMCO Natural Resources, Gold & Income Trust

Notes to Financial Statements (Unaudited)

1. Organization. GAMCO Natural Resources, Gold and Income Trust (the Fund) was organized on June 26, 2008 as a Delaware statutory trust. The Fund is a non-diversified closed-end management investment company registered under the Investment Company Act of 1940, as amended (the 1940 Act). The Fund commenced investment operations on January 27, 2011.

The Fund's primary investment objective is to provide a high level of current income from interest, dividends, and option premiums. The Fund's secondary investment objective is to seek capital appreciation consistent with the Fund's strategy and its primary objective. The Fund will attempt to achieve its objectives, under normal market conditions, by investing at least 80% of its assets in equity securities of companies principally engaged in the natural resources and gold industries. As part of its investment strategy, the Fund intends to generate current income from short term gains through an option strategy of writing (selling) covered call options of the equity securities in its portfolio. The Fund may invest in the securities of companies located anywhere in the world. The Fund may invest a high percentage of its assets in specific sectors of the market in order to achieve a potentially greater investment return. As a result, the Fund may be more susceptible to economic, political, and regulatory developments in a particular sector of the market, positive or negative, and may experience increased volatility to the Fund's NAV and a magnified effect in its total return.

2. Significant Accounting Policies. As an investment company, the Fund follows the investment company accounting and reporting guidance, which is part of U.S. generally accepted accounting principles (GAAP) that may require the use of management estimates and assumptions in the preparation of its financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.

The global outbreak of the novel coronavirus disease, known as COVID-19, has caused adverse effects on many companies, sectors, nations, regions, and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may materially impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations, and its ability to achieve its investment objectives.

Security Valuation.Portfolio securities listed or traded on a nationally recognized securities exchange or traded in the U.S. over-the-counter market for which market quotations are readily available are valued at the last quoted sale price or a market's official closing price as of the close of business on the day the securities are being valued. If there were no sales that day, the security is valued at the average of the closing bid and asked prices or, if there were no asked prices quoted on that day, then the security is valued at the closing bid price on that day. If no bid or asked prices are quoted on such day, the security is valued at the most recently available price or, if the Board of Trustees (the Board) so determines, by such other method as the Board shall determine in good faith to reflect its fair market value. Portfolio securities traded on more than one national securities exchange or market are valued according to the broadest and most representative market, as determined by Gabelli Funds, LLC (the Advisor).

Portfolio securities primarily traded on a foreign market are generally valued at the preceding closing values of such securities on the relevant market, but may be fair valued pursuant to procedures established by the Board if market conditions change significantly after the close of the foreign market, but prior to the close of business on the day the securities are being valued. Debt obligations for which market quotations are readily available are valued at the average of the latest bid and asked prices. If there were no asked prices quoted on such day, the securities are valued using the closing bid price, unless the Board determines such amount does not reflect the securities' fair value, in which case these securities will be fair valued as determined by the Board. Certain

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Notes to Financial Statements (Unaudited) (Continued)

securities are valued principally using dealer quotations. Futures contracts are valued at the closing settlement price of the exchange or board of trade on which the applicable contract is traded. OTC futures and options on futures for which market quotations are readily available will be valued by quotations received from a pricing service or, if no quotations are available from a pricing service, by quotations obtained from one or more dealers in the instrument in question by the Adviser.

Securities and assets for which market quotations are not readily available are fair valued as determined by the Board. Fair valuation methodologies and procedures may include, but are not limited to: analysis and review of available financial and non-financial information about the company; comparisons with the valuation and changes in valuation of similar securities, including a comparison of foreign securities with the equivalent U.S. dollar value American Depositary Receipt securities at the close of the U.S. exchange; and evaluation of any other information that could be indicative of the value of the security.

The inputs and valuation techniques used to measure fair value of the Fund's investments are summarized into three levels as described in the hierarchy below:

●	Level 1 - quoted prices in active markets for identical securities;

●	Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and

●	Level 3 - significant unobservable inputs (including the Board's determinations as to the fair value of investments).

A financial instrument's level within the fair value hierarchy is based on the lowest level of any input both individually and in the aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of the Fund's investments in securities and other financial instruments by inputs used to value the Fund's investments as of June 30, 2022 is as follows:

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Notes to Financial Statements (Unaudited) (Continued)

		Valuation Inputs
		Level 1 Quoted Prices			Level 2 Other Significant Observable Inputs			Total Market Value at 06/30/22
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Common Stocks (a)		$	91,505,502				-			$	91,505,502
Convertible Corporate Bonds (a)			-			$	466,915				466,915
Corporate Bonds (a)			-				334,295				334,295
U.S. Government Obligations			-				42,310,219				42,310,219
TOTAL INVESTMENTS IN SECURITIES - ASSETS		$	91,505,502			$	43,111,429			$	134,616,931
INVESTMENTS IN SECURITIES:
LIABILITIES (Market Value):
Equity Contracts
Call Options Written		$	(394,855	)		$	(2,800,441	)		$	(3,195,296	)
Put Options Written			(917,312	)			(1,092,998	)			(2,010,310	)
TOTAL INVESTMENTS IN SECURITIES - LIABLITIES		$	(1,312,167	)		$	(3,893,439	)		$	(5,205,606	)

(a)	Please refer to the Schedule of Investments (SOI) for the industry classifications of these portfolio holdings.

There were no Level 3 investments at June 30, 2022 or December 31, 2021.

Additional Information to Evaluate Qualitative Information.

General. The Fund uses recognized industry pricing services - approved by the Board and unaffiliated with the Adviser - to value most of its securities, and uses broker quotes provided by market makers of securities not valued by these and other recognized pricing sources. Several different pricing feeds are received to value domestic equity securities, international equity securities, preferred equity securities, and fixed income securities. The data within these feeds are ultimately sourced from major stock exchanges and trading systems where these securities trade. The prices supplied by external sources are checked by obtaining quotations or actual transaction prices from market participants. If a price obtained from the pricing source is deemed unreliable, prices will be sought from another pricing service or from a broker/dealer that trades that security or similar securities.

Fair Valuation.Fair valued securities may be common or preferred equities, warrants, options, rights, or fixed income obligations. Where appropriate, Level 3 securities are those for which market quotations are not available, such as securities not traded for several days, or for which current bids are not available, or which are restricted as to transfer. When fair valuing a security, factors to consider include recent prices of comparable securities that are publicly traded, reliable prices of securities not publicly traded, the use of valuation models, current analyst reports, valuing the income or cash flow of the issuer, or cost if the preceding factors do not apply. A significant change in the unobservable inputs could result in a lower or higher value in Level 3 securities. The circumstances of Level 3 securities are frequently monitored to determine if fair valuation measures continue to apply.

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Notes to Financial Statements (Unaudited) (Continued)

The Adviser reports quarterly to the Board the results of the application of fair valuation policies and procedures. These may include backtesting the prices realized in subsequent trades of these fair valued securities to fair values previously recognized.

Derivative Financial Instruments.The Fund may engage in various portfolio investment strategies by investing in derivative financial instruments for the purposes of increasing the income of the Fund, hedging against changes in the value ofits portfolio securities and in the value of securities it intends to purchase, or hedging against a specific transaction with respect to either the currency in which the transaction is denominated or another currency. Investing in certain derivative financial instruments, including participation in the options, futures, or swap markets, entails certain execution, liquidity, hedging, tax, and securities, interest, credit, or currency market risks. Losses may arise if the Adviser's prediction of movements in the direction of the securities, foreign currency, and interest rate markets is inaccurate. Losses may also arise if the counterparty does not perform its duties under a contract, or, in the event of default, the Fund may be delayed in or prevented from obtaining payments or other contractual remedies owed toit under derivative contracts. The creditworthiness of the counterparties is closely monitored in order to minimize these risks. Participation in derivative transactions involves investment risks, transaction costs, and potential losses to which the Fund would not be subject absent the use of these strategies. The consequences of these risks, transaction costs, and losses may have a negative impact on the Fund's ability to pay distributions.

Collateral requirements differ by type of derivative. Collateral requirements are set by the broker or exchange clearing house for exchange traded derivatives, while collateral terms are contract specific for derivatives traded over-the-counter. Securities pledged to cover obligations of the Fund under derivative contracts are noted in the Schedule of Investments. Cash collateral, if any, pledged for the same purpose will be reported separately in the Statement of Assets and Liabilities.

The Fund's policy with respect to offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master agreement does not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty. The enforceability of the right to offset may vary by jurisdiction.

The Fund's derivative contracts held at June 30, 2022, if any, are not accounted for as hedging instruments under GAAP and are disclosed in the Schedule of Investments together with the related counterparty.

Options. The Fund may purchase or write call or put options on securities or indices for the purpose of increasing the income of the Fund. As a writer of put options, the Fund receives a premium at the outset and then bears the risk of unfavorable changes in the price of the financial instrument underlying the option. The Fund would incur a loss if the price of the underlying financial instrument decreases between the date the option is written and the date on which the option is terminated. The Fund would realize a gain, to the extent of the premium, if the price of the financial instrument increases between those dates.

As a purchaser of put options, the Fund pays a premium for the right to sell to the seller of the put option the underlying security at a specified price. The seller of the put has the obligation to purchase the underlying security upon exercise at the exercise price. If the price of the underlying security declines, the Fund would realize a gain upon sale or exercise. If the price of the underlying security increases or stays the same, the Fund would realize a loss upon sale or at the expiration date, but only to the extent of the premium paid.

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Notes to Financial Statements (Unaudited) (Continued)

If a written call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether there has been a realized gain or loss. If a written put option is exercised, the premium reduces the cost basis of the security. In the case of call options, the exercise prices are referred to as "in-the-money," "at-the-money," and "out-of-the-money," respectively. The Fund may write (a) in-the-money call options when the Adviser expects that the price of the underlying security will remain stable or decline during the option period, (b) at-the-money call options when the Adviser expects that the price of the underlying security will remain stable, decline, or advance moderately during the option period, and (c) out-of-the-money call options when the Adviser expects that the premiums received from writing the call option will be greater than the appreciation in the price of the underlying security above the exercise price. By writing a call option, the Fund limits its opportunity to profit from any increase in the market value of the underlying security above the exercise price of the option. Out-of-the-money, at-the-money, and in-the-money put options (the reverse of call options as to the relation of exercise price to market price) may be utilized in the same market environments that such call options are used in equivalent transactions. Option positions at June 30, 2022 are reflected within the Schedule of Investments.

The Fund's volume of activity in equity options contracts during the six months ended June 30, 2022 had an average monthly market value of approximately $8,058,873.

At June 30, 2022, the Fund's derivative liabilities (by type) are as follows:

	Gross Amounts of Recognized Liabilities Presented in the Statement of Assets and Liabilities	Gross Amounts Available for Offset in the Statement of Assets and Liabilities	Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Liabilities
OTC Equity Written Options	$3,499,381	-	$3,499,381

The following table presents the Fund's derivative liabilities by counterparty net of the related collateral segregated by the Fund for the benefit of the counterparty as of June 30, 2022:

	Net Amounts Not Offset in the Statement of Assets and Liabilities
	Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities	Securities Pledged as Collateral	Cash Collateral Pledged	Net Amount
Counterparty
Pershing LLC	$3,480,665	$(3,480,665)	-	-
Morgan Stanley	18,716	(18,716)	-	-
Total	$3,499,381	$(3,499,381)	-	-

As of June 30, 2022, the value of equity options written can be found in the Statement of Assets and Liabilities, under Liabilities, options written,at value. For the six months ended June 30, 2022, the effect of equity options written can be found in the Statement of Operations under Net Realized and Unrealized Gain/(Loss) on Investments, Securities Sold Short, Written Options, and Foreign Currency, within Net realized gain on written options, and Net change in unrealized appreciation/(depreciation) on written options.

Limitations on the Purchase and Sale of Futures Contracts, Certain Options, and Swaps.Subject to the guidelines of the Board, the Fund may engage in "commodity interest" transactions (generally, transactions in

GAMCO Natural Resources, Gold & Income Trust

Notes to Financial Statements (Unaudited) (Continued)

futures, certain options, certain currency transactions, and certain types of swaps) only for bona fide hedging or other permissible transactions in accordance with the rules and regulations of the Commodity Futures Trading Commission (CFTC). Pursuant to amendments by the CFTC to Rule 4.5 under the Commodity Exchange Act (CEA), the Adviser has filed a notice of exemption from registration as a "commodity pool operator" with respect to the Fund. The Fund and the Adviser are therefore not subject to registration or regulation as a commodity pool operator under the CEA. In addition, certain trading restrictions are now applicable to the Fund which permit the Fund to engage in commodity interest transactions that include (i) "bona fide hedging" transactions, as that term is defined and interpreted by the CFTC and its staff, without regard to the percentage of the Fund's assets committed to margin and options premiums and (ii) non-bona fide hedging transactions, provided that the Fund does not enter into such non-bona fide hedging transactions if, immediately thereafter, either (a) the sum of the amount of initial margin deposits on the Fund's existing futures positions or swaps positions and option or swaption premiums would exceed 5% of the market value of the Fund's liquidating value, after taking into account unrealized profits and unrealized losses on any such transactions, or (b) the aggregate net notional value of the Fund's commodity interest transactions would not exceed 100% of the market value of the Fund's liquidating value, after taking into account unrealized profits and unrealized losses on any such transactions. Therefore, in order to claim the Rule 4.5 exemption, the Fund is limited in its ability to invest in commodity futures, options, and certain types of swaps (including securities futures, broad based stock index futures, and financial futures contracts). As a result, in the future the Fund will be more limited in its ability to use these instruments than in the past, and these limitations may have a negative impact on the ability of the Adviser to manage the Fund, and on the Fund's performance.

Securities Sold Short. The Fund may enter into short sale transactions. Short selling involves selling securities that may or may not be owned and, at times, borrowing the same securities for delivery to the purchaser, with an obligation to replace such borrowed securities at a later date. The proceeds received from short sales are recorded as liabilities and the Fund records an unrealized gain or loss to the extent of the difference between the proceeds received and the value of an open short position on the day of determination. The Fund records a realized gain or loss when the short position is closed out. By entering into a short sale, the Fund bears the market risk of an unfavorable change in the price of the security sold short. Dividends on short sales are recorded as an expense by the Fund on the ex-dividend date and interest expense is recorded on the accrual basis. The broker retains collateral for the value of the open positions, which is adjusted periodically as the value of the position fluctuates. For the six months ended June 30, 2022, the Fund incurred $873 in service fees related to its investment positions sold short and held by the broker. These amounts are included in the Statement of Operations under Expenses, Service fees for securities sold short.

Investments in Other Investment Companies. The Fund may invest, from time to time, in shares of other investment companies (or entities that would be considered investment companies but are excluded from the definition pursuant to certain exceptions under the 1940 Act) (the Acquired Funds) in accordance with the 1940 Act and related rules. Shareholders in the Fund would bear the pro rata portion of the periodic expenses of the Acquired Funds in addition to the Fund's expenses. For the six months ended June 30, 2022, the Fund's pro rata portion of the periodic expenses charged by the Acquired Funds was less than one basis point.

Foreign Currency Translations.The books and records of the Fund are maintained in U.S. dollars. Foreign currencies, investments, and other assets and liabilities are translated into U.S. dollars at current exchange rates. Purchases and sales of investment securities, income, and expenses are translated at the exchange rate prevailing on the respective dates of such transactions. Unrealized gains and losses that result from changes

GAMCO Natural Resources, Gold & Income Trust

Notes to Financial Statements (Unaudited) (Continued)

in foreign exchange rates and/or changes in market prices of securities have been included in unrealized appreciation/depreciation on investments and foreign currency translations. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of interest and dividends recorded on the books of the Fund and the amounts actually received. The portion of foreign currency gains and losses related to fluctuation in exchange rates between the initial purchase trade date and subsequent sale trade date is included in realized gain/(loss) on investments.

Foreign Securities.The Fund may directly purchase securities of foreign issuers. Investing in securities of foreign issuers involves special risks not typically associated with investing in securities of U.S. issuers. The risks include possible revaluation of currencies, the inability to repatriate funds, less complete financial information about companies, and possible future adverse political and economic developments. Moreover, securities of many foreign issuers and their markets may be less liquid and their prices more volatile than securities of comparable U.S. issuers.

Foreign Taxes.The Fund may be subject to foreign taxes on income, gains on investments, or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.

Restricted Securities.The Fund may invest up to 15% of its net assets in securities for which the markets are restricted. Restricted securities include securities whose disposition is subject to substantial legal or contractual restrictions. The sale of restricted securities often requires more time and results in higher brokerage charges or dealer discounts and other selling expenses than the sale of securities eligible for trading on national securities exchanges or in the over-the-counter markets. Restricted securities may sell at a price lower than similar securities that are not subject to restrictions on resale. Securities freely saleable among qualified institutional investors under special rules adopted by the SEC may be treated as liquid if they satisfy liquidity standards established by the Board. The continued liquidity of such securities is not as well assured as that of publicly traded securities, and accordingly the Board will monitor their liquidity. At June 30, 2022, the Fund did not hold any restricted securities.

Securities Transactions and Investment Income.Securities transactions are accounted for on the trade date with realized gain/(loss) on investments determined by using the identified cost method. Interest income (including amortization of premium and accretion of discount) is recorded on an accrual basis. Premiums and discounts on debt securities are amortized using the effective yield to maturity method or amortized to earliest call date, if applicable. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities that are recorded as soon after the ex-dividend date as the Fund becomes aware of such dividends.

Custodian Fee Credits and Interest Expense.When cash balances are maintained in the custody account, the Fund receives credits which are used to offset custodian fees. The gross expenses paid under the custody arrangement are included in custodian fees in the Statement of Operations with the corresponding expense offset, if any, shown as "Custodian fee credits." When cash balances are overdrawn, the Fund is charged an overdraft fee of 110% of the 90 day U.S. Treasury Bill rate on outstanding balances. This amount, if any, would be included in the Statement of Operations.

GAMCO Natural Resources, Gold & Income Trust

Notes to Financial Statements (Unaudited) (Continued)

Distributions to Shareholders. Distributions to common shareholders are recorded on the ex-dividend date. Distributions to shareholders are based on income and capital gains as determined in accordance with federal income tax regulations, which may differ from income and capital gains as determined under GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities and foreign currency transactions held by the Fund, timing differences, and differing characterizations of distributions made by the Fund. Distributions from net investment income for federal income tax purposes include net realized gains on foreign currency transactions. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, adjustments are made to the appropriate capital accounts in the period when the differences arise. These reclassifications have no impact on the NAV of the Fund.

The Fund declares and pays monthly distributions from net investment income, capital gains, and paid-in capital. The actual source of the distribution is determined after the end of the year. Distributions during the year may be made in excess of required distributions. Distributions sourced from paid-in capital should not be considered as dividend yield or the total return from an investment in the Fund. The Board will continue to monitor the Fund's distribution level, taking into consideration the Fund's NAV and the financial market environment. The Fund's distribution policy is subject to modification by the Board at any time.

Distributions to shareholders of the Fund's 5.200% Series A Cumulative Preferred Shares (Series A Preferred) are accrued on a daily basis and are determined as described in Note 5.

The tax character of distributions paid during the year ended December 31, 2021 was as follows:

		Common			Preferred
Distributions paid from:
Ordinary income		$	-			$	1,448,100
Return of capital			6,890,575				73,033
Total distributions paid		$	6,890,575			$	1,521,133

Provision for Income Taxes. The Fund intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the Code). It is the policy of the Fund to comply with the requirements of the Code applicable to regulated investment companies and to distribute substantially all of its net investment company taxable income and net capital gains. Therefore, no provision for federal income taxes is required.

At December 31, 2021, the Fund had net capital loss carryforwards for federal income tax purposes which are available to reduce future required distributions of net capital gains to shareholders. The Fund is permitted to carry capital losses forward for an unlimited period. Capital losses that are carried forward will retain their character as either short term or long term capital losses.

Long term capital loss carryforward with no expiration

$

(85,202,554

)

GAMCO Natural Resources, Gold & Income Trust

Notes to Financial Statements (Unaudited) (Continued)

The following summarizes the tax cost of investments, written options, and the related net unrealized depreciation atJune 30, 2022:

	Cost/ (Premiums)		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Depreciation
Investments and other derivative instruments	$168,083,998		$-		$(33,467,067)		$(33,467,067)

The Fund is required to evaluate tax positions taken or expected to be taken in the course of preparing the Fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Income tax and related interest and penalties would be recognized by the Fund as tax expense in the Statement of Operations if the tax positions were deemed not to meet the more-likely-than-not threshold. During the six months ended June 30, 2022, the Fund did not incur any income tax, interest, or penalties. As of June 30, 2022, the Adviser has reviewed all open tax years and concluded that there was no impact to the Fund's net assets or results of operations. The Fund's federal and state tax returns for the prior three fiscal years remain open, subject to examination. On an ongoing basis, the Adviser will monitor the Fund's tax positions to determine if adjustments to this conclusion are necessary.

3. Investment Advisory Agreement and Other Transactions. The Fund has entered into an investment advisory agreement (the Advisory Agreement) with the Adviser which provides that the Fund will pay the Adviser a fee, computed weekly and paid monthly, equal on an annual basis to 1.00% of the value of the Fund's average weekly net assets including the liquidation value of preferred shares. In accordance with the Advisory Agreement, the Adviser provides a continuous investment program for the Fund's portfolio and oversees the administration of all aspects of the Fund's business and affairs.

4. Portfolio Securities. Purchases and sales of securities during the six months ended June 30, 2022, other than short term securities and U.S. Government obligations, aggregated $96,768,471 and $115,549,319, respectively.

5. Transactions with Affiliates and Other Arrangements. During the six months ended June 30, 2022, the Fund received credits from a designated broker who agreed to pay certain Fund operating expenses. The amount of such expenses paid through this directed brokerage arrangement during this period was $1,635.

As per the approval of the Board, the Fund compensates officers of the Fund, who are employed by the Fund and are not employed by the Adviser (although the officers may receive incentive based variable compensation from affiliates of the Adviser). During the six months ended June 30, 2022, the Fund accrued $66,923 in Payroll expenses in the Statement of Operations.

The Fund pays retainer and per meeting fees to Trustees not affiliated with the Adviser, plus specified amounts to the Lead Trustee and Audit Committee Chairman. Trustees are also reimbursed for out of pocket expenses incurred in attending meetings. Trustees who are directors or employees of the Adviser or an affiliated company receive no compensation or expense reimbursement from the Fund.

6. Capital. The Fund is authorized to issue an unlimited number of common shares of beneficial interest (par value $0.001). The Board has authorized the repurchase of its shares in the open market when the shares are trading at a discount of 10% or more (or such other percentage as the Board may determine from time to time)

GAMCO Natural Resources, Gold & Income Trust

Notes to Financial Statements (Unaudited) (Continued)

from the NAV of the shares. During the six months ended June 30, 2022 and the year ended December 31, 2021 the Fund repurchased and retired 485,050 and 872,702 shares, respectively, of its common shares at an investment of $2,606,277 and $4,517,773, respectively, and an average discount of approximately 13.87% and 13.06%, respectively, from its NAV.

Transactions in common shares of beneficial interest for the six months ended June 30, 2022 and the year ended December 31, 2021, respectively were as follows:

		Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021
		Shares			Amount			Shares			Amount
Net decrease from repurchase of common shares			(485,050	)		$ (2,606,277	)			(872,702	)		$ (4,517,773	)

The Fund has an effective shelf registration authorizing the issuance of $200 million in common or preferred shares.

The Fund's Declaration of Trust, as amended, authorizes the issuance of an unlimited number of $0.001 par value Preferred Shares. On October 26, 2017, the Fund issued 1,200,000 shares of 5.200% Series A Cumulative Preferred Shares (Series A Preferred), receiving $28,851,132, after the deduction of offering expenses of $203,868 and underwriting fees of $945,000. The Series A Preferred has a liquidation value of $25 per share, an annual dividend rate of 5.200%, and is noncallable before October 26, 2022. The Board has authorized the repurchase of the Series A Preferred in the open market at prices less than $25 liquidation value per share. The Fund did not repurchase any Series A Preferred Shares in 2021. At June 30, 2022, 1,170,102 shares were outstanding and accrued dividends amounted to $21,127.

The Series A Preferred is senior to the common shares and results in the financial leveraging of the common shares. Such leveraging tends to magnify both the risks and opportunities to common shareholders. Dividends on the Series A Preferred are cumulative. The Fund is required by the 1940 Act and by the Statement of Preferences to meet certain asset coverage tests with respect to the Series A Preferred. If the Fund fails to meet these requirements and does not correct such failure, the Fund may be required to redeem, in part or in full, the Series A Preferred at the redemption price of $25 per share plus an amount equal to the accumulated and unpaid dividends whether or not declared on such shares in order to meet the requirements. Additionally, failure to meet the foregoing asset coverage requirements could restrict the Fund's ability to pay dividends to common shareholders and could lead to sales of portfolio securities at inopportune times. The income received on the Fund's assets may vary in a manner unrelated to the fixed rate, which could have either a beneficial or detrimental impact on net investment income and gains available to common shareholders.

The holders of Preferred Shares generally are entitled to one vote per share held on each matter submitted to a vote of shareholders of the Fund and will vote together with holders of common shares as a single class. The holders of Preferred Shares voting together as a single class also have the right currently to elect two Trustees and, under certain circumstances, are entitled to elect a majority of the Board of Trustees. In addition, the affirmative vote of a majority of the votes entitled to be cast by holders of all outstanding shares of the Preferred

GAMCO Natural Resources, Gold & Income Trust

Notes to Financial Statements (Unaudited) (Continued)

Shares, voting as a single class, will be required to approve any plan of reorganization adversely affecting the Preferred Shares, and the approval of two-thirds of each class, voting separately, of the Fund's outstanding voting shares must approve the conversion of the Fund from a closed-end to an open-end investment company. The approval of a majority (as defined in the 1940 Act) of the outstanding Preferred Shares and a majority (as defined in the 1940 Act) of the Fund's outstanding voting securities are required to approve certain other actions, including changes in the Fund's investment objectives or fundamental investment policies.

7. Indemnifications.The Fund enters into contracts that contain a variety of indemnifications. The Fund's maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts. Management has reviewed the Fund's existing contracts and expects the risk of loss to be remote.

8. Subsequent Events. Management has evaluated the impact on the Fund of all subsequent events occurring through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.

Certifications

The Fund's Chief Executive Officer has certified to the New York Stock Exchange (NYSE) that, as of June 3, 2022, he was not aware of any violation by the Fund of applicable NYSE corporate governance listing standards. The Fund reports to the SEC on Form N-CSR which contains certifications by the Fund's principal executive officer and principal financial officer that relate to the Fund's disclosure in such reports and that are required by Rule 30a-2(a) under the 1940 Act.

Shareholder Meeting - May 9, 2022 - Final Results

The Fund's Annual Meeting of Shareholders was held virtually on May 9, 2022. At that meeting, common and preferred shareholders, voting together as a single class, re-elected James P. Conn and Vincent D. Enright as Trustees of the Fund, with a total 14,402,994 votes and 14,379,619 votes in favor of these Trustees, and a total of 779,844 votes and 803,219 votes withheld for these Trustees, respectively.

In addition, preferred shareholders, voting as a separate class, re-elected Kuni Nakamura as a Trustee of the Fund, with 731,013 votes cast in favor of this Trustee and 141,481 votes withheld for this Trustee.

Anthony S. Colavita, Frank J. Fahrenkopf, Jr., William F. Heitmann, Michael J. Melarkey, Agnes Mullady, Anthonie C. van Ekris, and Salvatore J. Zizza continue to serve in their capacities as Trustees of the Fund.

We thank you for your participation and appreciate your continued support.

GAMCO Natural Resources, Gold & Income Trust

Additional Fund Information (Unaudited)

Delaware Statutory Trust Act - Control Share Acquisitions

The Fund is organized as a Delaware statutory trust and thus is subject to the control share acquisition statute contained in Subchapter III of the Delaware Statutory Trust Act (the DSTA Control Share Statute). The DSTA Control Share Statute applies to any closed-end investment company organized as a Delaware statutory trust and listed on a national securities exchange, such as the Fund. The DSTA Control Share Statute became automatically applicable to the Fund on August 1, 2022.

The DSTA Control Share Statute defines "control beneficial interests" (referred to as "control shares" herein) by reference to a series of voting power thresholds and provides that a holder of control shares acquired in a control share acquisition has no voting rights under the Delaware Statutory Trust Act (DSTA) or the Fund's Governing Documents (as used herein, "Governing Documents" means the Fund's Agreement and Declaration of Trust and By-Laws, together with any amendments or supplements thereto, including any Statement of Preferences establishing a series of preferred shares) with respect to the control shares acquired in the control share acquisition, except to the extent approved by the Fund's shareholders by the affirmative vote of two-thirds of all the votes entitled to be cast on the matter, excluding all interested shares (generally, shares held by the acquiring person and their associates and shares held by Fund insiders).

The DSTA Control Share Statute provides for a series of voting power thresholds above which shares are considered control shares. Whether one of these thresholds of voting power is met is determined by aggregating the holdings of the acquiring person as well as those of his, her or its "associates." These thresholds are:

●	10% or more, but less than 15% of all voting power;

●	15% or more, but less than 20% of all voting power;

●	20% or more, but less than 25% of all voting power;

●	25% or more, but less than 30% of all voting power;

●	30% or more, but less than a majority of all voting power; or

●	a majority or more of all voting power.

Under the DSTA Control Share Statute, once a threshold is reached, an acquirer has no voting rights with respect to shares in excess of that threshold (i.e., the "control shares") until approved by a vote of shareholders, as described above, or otherwise exempted by the Fund's Board of Trustees. The DSTA Control Share Statute contains a statutory process for an acquiring person to request a shareholder meeting for the purpose of considering the voting rights to be accorded control shares. An acquiring person must repeat this process at each threshold level.

Under the DSTA Control Share Statute, an acquiring person's "associates" are broadly defined to include, among others, relatives of the acquiring person, anyone in a control relationship with the acquiring person, any investment fund or other collective investment vehicle that has the same investment adviser as the acquiring person, any investment adviser of an acquiring person that is an investment fund or other collective investment vehicle and any other person acting or intending to act jointly or in concert with the acquiring person.

Voting power under the DSTA Control Share Statute is the power (whether such power is direct or indirect or through any contract, arrangement, understanding, relationship or otherwise) to directly or indirectly exercise or direct the exercise of the voting power of shares of the Fund in the election of the Fund's Trustees (either

GAMCO Natural Resources, Gold & Income Trust

Additional Fund Information (Continued) (Unaudited)

generally or with respect to any subset, series or class of trustees, including any Trustees elected solely by a particular series or class of shares, such as the preferred shares). Thus, Fund preferred shares, including the Series A Preferred Shares, acquired in excess of the above thresholds would be considered control shares with respect to the preferred share class vote for two Trustees.

Any control shares of the Fund acquired before August 1, 2022 are not subject to the DSTA Control Share Statute; however, any further acquisitions on or after August 1, 2022 are considered control shares subject to the DSTA Control Share Statute.

The DSTA Control Share Statute requires shareholders to disclose to the Fund any control share acquisition within 10 days of such acquisition, and also permits the Fund to require a shareholder or an associate of such person to disclose the number of shares owned or with respect to which such person or an associate thereof can directly or indirectly exercise voting power. Further, the DSTA Control Share Statute requires a shareholder or an associate of such person to provide to the Fund within 10 days of receiving a request therefor from the Fund any information that the Fund's Trustees reasonably believe is necessary or desirable to determine whether a control share acquisition has occurred.

The DSTA Control Share Statute permits the Fund's Board of Trustees, through a provision in the Fund's Governing Documents or by Board action alone, to eliminate the application of the DSTA Control Share Statute to the acquisition of control shares in the Fund specifically, generally, or generally by types, as to specifically identified or unidentified existing or future beneficial owners or their affiliates or associates or as to any series or classes of shares. The DSTA Control Share Statute does not provide that the Fund can generally "opt out" of the application of the DSTA Control Share Statute; rather, specific acquisitions or classes of acquisitions may be exempted by the Fund's Board of Trustees, either in advance or retroactively, but other aspects of the DSTA Control Share Statute, which are summarized above, would continue to apply. The DSTA Control Share Statute further provides that the Board of Trustees is under no obligation to grant any such exemptions.

The foregoing is only a summary of the material terms of the DSTA Control Share Statute. Shareholders should consult their own counsel with respect to the application of the DSTA Control Share Statute to any particular circumstance.

GAMCO NATURAL RESOURCES, GOLD & INCOME TRUST AND YOUR PERSONAL PRIVACY Who are we? The GAMCO Natural Resources, Gold & Income Trust is a closed-end management investment company registered with the Securities and Exchange Commission under the Investment Company Act of 1940. We are managed by Gabelli Funds, LLC, which is affiliated with GAMCO Investors, Inc., a publicly held company that has subsidiaries that provide investment advisory services for a variety of clients. What kind of non-public information do we collect about you if you become a fund shareholder? When you purchase shares of the Fund on the New York Stock Exchange, you have the option of registering directly with our transfer agent in order, for example, to participate in our dividend reinvestment plan. ● Information you give us on your application form. This could include your name, address, telephone number, social security number, bank account number, and other information. ● Information about your transactions with us. This would include information about the shares that you buy or sell; it may also include information about whether you sell or exercise rights that we have issued from time to time. If we hire someone else to provide services - like a transfer agent - we will also have information about the transactions that you conduct through them. What information do we disclose and to whom do we disclose it? We do not disclose any non-public personal information about our customers or former customers to anyone other than our affiliates, our service providers who need to know such information, and as otherwise permitted by law. If you want to find out what the law permits, you can read the privacy rules adopted by the Securities and Exchange Commission. They are in volume 17 of the Code of Federal Regulations, Part 248. The Commission often posts information about its regulations on its website, www. sec.gov. What do we do to protect your personal information? We restrict access to non-public personal information about you to the people who need to know that information in order to provide services to you or the fund and to ensure that we are complying with the laws governing the securities business. We maintain physical, electronic, and procedural safeguards to keep your personal information confidential.

GAMCO NATURAL RESOURCES, GOLD & INCOME TRUST

One Corporate Center

Rye, NY 10580-1422

Portfolio Management Team Biographies

Caesar M. P. Bryanjoined GAMCO Asset Management in 1994. He is a member of the global investment team of Gabelli Funds, LLC and portfolio manager of several funds within the Fund Complex. Prior to joining Gabelli, Mr. Bryan was a portfolio manager at Lexington Management. He began his investment career at Samuel Montagu Company, the London based merchant bank. Mr. Bryan graduated from the University of Southampton in England with a Bachelor of Law and is a member of the English Bar.

Vincent Hugonnard-Rochejoined GAMCO Investors, Inc. in 2000. He is Director of Quantitative Strategies, head of the Gabelli Risk Management Group, serves as a portfolio manager of Gabelli Funds, LLC, and manages several funds within the Fund Complex. He received a Master's degree in Mathematics of Decision Making from EISITI, France and an MS in Finance from ESSEC, France.

The Net Asset Value per share appears in the Publicly Traded Funds column, under the heading "Specialized Equity Funds," in Monday's The Wall Street Journal. It is also listed in Barron's Mutual Funds/Closed End Funds section under the heading "Specialized Equity Funds."

The Net Asset Value per share may be obtained each day by calling (914) 921-5070 or visiting www.gabelli.com.

The NASDAQ symbol for the Net Asset Value is "XGNTX."

Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that the Fund may from time to time purchase its common shares in the open market when the Fund's shares are trading at a discount of 10% or more from the net asset value of the shares. The Fund may also, from time to time, purchase its preferred shares in the open market when the preferred shares are trading at a discount to the liquidation value.

(b)	Not applicable.

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a)	Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.

(b)	Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

There has been no change, as of the date of this filing, in any of the portfolio managers identified in response to paragraph (a)(1) of this Item in the registrant's most recently filed annual report on Form N-CSR.