GAMCO Natural Resources, Gold & Income

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q 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 the 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.

For the quarter ended March 31, 2017, the net asset value (“NAV”) total return of the GAMCO Natural Resources, Gold & Income Trust (the “Fund”) was 3.5%, compared with total returns of 4.0% and 6.2% 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 6.3%. The Fund’s NAV per share was $7.24, while the price of the publicly traded shares closed at $6.94 on the New York Stock Exchange (“NYSE”). See below for additional performance information.


Average Annual Returns through March 31, 2017 (a) (Unaudited)													Since
	Quarter			1 Year			3 Year			5 Year			Inception (01/27/11)
GAMCO Natural Resources, Gold & Income Trust
NAV Total Return (b)		3.51	%		11.92	%		(3.63	)%		(3.75	)%		(4.89	)%
Investment Total Return (c)		6.31			17.34			(1.89	)		(4.65	)		(5.81	)
CBOE S&P 500 Buy/Write Index		4.01			12.20			6.52			7.04			7.18
XAU Index		6.23			20.52			(2.79	)		(13.75	)		(13.06	)
Dow Jones U.S. Basic Materials Index		7.56			24.10			4.51			7.21			4.75	(d)
S&P Global Agribusiness Equity Index		1.77			11.73			1.93			5.24			3.43	(d)

(a)

Returns represent past performance and do not guarantee future results. Investment returns and the principal value of an investment will fluctuate. 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. Performance returns for periods of less than one year are not annualized. Investors should carefully consider the investment objectives, risks, charges, and expenses of the Fund before investing. 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 XAU 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 is available.


Shares			Market Value
		COMMON STOCKS — 93.7%
		Agriculture — 9.2%
	79,600	Archer Daniels Midland Co.(a)	$	3,664,784
	25,000	Bunge Ltd.(a)		1,981,500
	38,500	Monsanto Co.(a)		4,358,200
	51,000	Syngenta AG, ADR(a)		4,513,500

				14,517,984

		Energy and Energy Services — 27.8%
	18,500	Anadarko Petroleum Corp.(a)		1,147,000
	19,500	Apache Corp.(a)		1,002,105
	16,500	Baker Hughes Inc.(a)		987,030
	44,300	BP plc, ADR(a)		1,529,236
	30,000	Cabot Oil & Gas Corp.		717,300
	18,000	Cheniere Energy Inc.†		850,860
	20,300	Chevron Corp.(a)		2,179,611
	1,600	Cimarex Energy Co.		191,184
	6,000	Concho Resources Inc.†(a)		770,040
	17,000	ConocoPhillips		847,790
	16,500	Devon Energy Corp.(a)		688,380
	10,500	Diamondback Energy Inc.†(a)		1,089,008
	23,616	Enbridge Inc.		988,093
	61,500	Eni SpA		1,007,089
	19,500	EOG Resources Inc.(a)		1,902,225
	4,000	EQT Corp.		244,400
	60,000	Exxon Mobil Corp.(a)		4,920,600
	32,500	Halliburton Co.(a)		1,599,325
	6,000	Helmerich & Payne Inc.		399,420
	7,000	Hess Corp.		337,470
	53,500	Kinder Morgan Inc.		1,163,090
	25,500	Marathon Oil Corp.		402,900
	10,100	Marathon Petroleum Corp.(a)		510,454
	5,200	Newfield Exploration Co.†		191,932
	17,000	Noble Energy Inc.		583,780
	10,000	Occidental Petroleum Corp.		633,600
	5,000	ONEOK Inc.		277,200
	7,500	Patterson-UTI Energy Inc.		182,025
	15,000	Phillips 66		1,188,300
	11,000	Pioneer Natural Resources Co.(a)		2,048,530
	10,000	Range Resources Corp.		291,000
	120,000	Royal Dutch Shell plc, Cl. A		3,151,287
	41,870	Schlumberger Ltd.(a)		3,270,047
	21,000	Suncor Energy Inc.(a)		645,750
	10,000	Sunoco LP		241,700
	16,000	TechnipFMC plc†		520,000
	9,000	Tesoro Corp.		729,540
	51,000	The Williams Companies Inc.		1,509,090
	35,000	Total SA, ADR(a)		1,764,700
	18,000	Valero Energy Corp.		1,193,220

				43,896,311

		Exchange Traded Funds — 0.8%
	121,000	United States Oil Fund LP†(a)		1,287,440


Shares			Market Value
		Food and Beverage — 1.8%
	15,000	Pilgrim’s Pride Corp.	$	337,575
	42,000	Tyson Foods Inc., Cl. A(a)		2,591,820

				2,929,395

		Health Care — 2.1%
	62,300	Zoetis Inc.(a)		3,324,951

		Machinery — 5.5%
	7,000	AGCO Corp		421,260
	148,000	CNH Industrial NV, New York		1,426,720
	42,000	Deere & Co.(a)		4,572,120
	150,000	Kubota Corp		2,251,415

				8,671,515

		Metals and Mining — 40.8%
	195,000	Acacia Mining plc		1,098,196
	102,000	Agnico Eagle Mines Ltd.(a)		4,328,880
	295,000	Alacer Gold Corp.†		596,721
	323,418	Alamos Gold Inc., Cl. A(a)		2,597,047
	80,000	AngloGold Ashanti Ltd., ADR(a)		861,600
	150,000	Antofagasta plc		1,568,314
	100,000	Asanko Gold Inc.†		262,436
	636,286	AuRico Metals Inc.†		559,803
	445,000	B2Gold Corp.†		1,259,350
	124,000	Barrick Gold Corp.(a)		2,354,760
	475,000	Belo Sun Mining Corp.†		303,605
	500,000	Centamin plc		1,081,877
	80,200	Centerra Gold Inc.		461,353
	355,000	Continental Gold Inc.†		1,070,459
	166,000	Detour Gold Corp.†		1,902,350
	370,000	Eldorado Gold Corp.(a)		1,261,700
	60,000	Franco-Nevada Corp.(a)		3,930,600
	208,900	Fresnillo plc		4,072,523
	300,000	Gold Fields Ltd., ADR		1,059,000
	123,000	Goldcorp Inc.(a)		1,794,570
	692,500	Hochschild Mining plc		2,411,148
	585,000	Integra Gold Corp.†		400,308
	173,000	Klondex Mines Ltd.†		675,166
	10,000	Labrador Iron Ore Royalty Corp		140,166
	78,000	MAG Silver Corp.†		1,021,153
	200,000	Newcrest Mining Ltd		3,462,000
	79,000	Newmont Mining Corp.(a)		2,603,840
	97,100	Northern Dynasty Minerals Ltd.†		136,539
	200,000	Northern Star Resources Ltd.		620,368
	369,950	OceanaGold Corp.		1,096,066
	60,000	Osisko Gold Royalties Ltd.		666,842
	25,000	Osisko Mining Inc(b)		86,617
	600,000	Perseus Mining Ltd.†		142,104
	9,000	Pretium Resources Inc., New York†		96,390
	40,000	Pretium Resources Inc., Toronto†		428,921
	69,000	Randgold Resources Ltd., ADR(a)		6,022,320
	40,000	Richmont Mines Inc.†		283,641
	51,000	Rio Tinto plc, ADR(a)		2,074,680


Shares			Market Value
		COMMON STOCKS (Continued)
		Metals and Mining (Continued)
	47,000	Royal Gold Inc.(a)	$	3,292,350
	886,400	Saracen Mineral Holdings Ltd.†		667,052
	70,000	SEMAFO Inc.†		211,076
	68,400	Silver Wheaton Corp.(a)		1,425,456
	250,200	Tahoe Resources Inc.(a)		2,009,106
	106,000	Torex Gold Resources Inc.†		2,089,950

				64,488,403

		Retail — 0.8%
	18,500	Tractor Supply Co.		1,275,945

		Specialty Chemicals — 4.9%
	17,000	Agrium Inc.(a)		1,624,350
	30,000	CF Industries Holdings Inc.		880,500
	18,000	FMC Corp.(a)		1,252,620
	135,800	Potash Corp. of Saskatchewan Inc.(a)		2,319,464
	56,900	The Mosaic Co.(a)		1,660,342

				7,737,276

		TOTAL COMMON STOCKS		148,129,220

		CONVERTIBLE PREFERRED STOCKS — 0.5%
		Energy and Energy Services — 0.5%
	15,700	Kinder Morgan Inc., 9.750%, Series A		783,116


		WARRANTS — 0.0%
		Metals and Mining — 0.0%
	25,000	Osisko Mining Inc, expire 08/28/18†(b)(c)		16,631


Principal Amount
		CONVERTIBLE CORPORATE BONDS — 0.2%
		Energy and Energy Services — 0.2%
	$350,000	Chesapeake Energy Corp. 5.500%, 09/15/26(b)		364,219

		U.S. GOVERNMENT OBLIGATIONS — 5.6%
	8,846,000	U.S. Treasury Bills,
		0.491% to 0.716%††,
		05/25/17 to 06/15/17(d)		8,835,740


		TOTAL INVESTMENTS — 100.0%
		(Cost $181,268,920)	$	158,128,926


		Aggregate tax cost	$	196,899,766

		Gross unrealized appreciation	$	2,342,511
		Gross unrealized depreciation		(41,113,351	)

		Net unrealized appreciation/depreciation	$	(38,770,840	)

Number of
Contracts

Expiration Date/
Exercise Price

Market

Value

OPTIONS CONTRACTS WRITTEN (e) — (4.4)%

Call Options Written — (4.4)%

Agco Corp.

Apr.

17/60

4,113

Agco Corp.

May

17/60

7,788

360

Agnico Eagle Mines Ltd.

Apr.

17/42

51,840

Agnico Eagle Mines Ltd.

May

17/44

13,260

400

Agnico Eagle Mines Ltd.

May

17/45

58,000

175

Agnico Eagle Mines Ltd.

Jun.

17/42

53,109

Agrium Inc.

Apr.

17/100

3,480

Agrium Inc.

May

17/100

9,442

Agrium Inc.

Jul.

17/100

14,125

875

Alacer Gold Corp.(f)

Apr.

17/2.50

16,449

1,500

Alacer Gold Corp.(f)

May

17/2.50

33,838

1,000

Alamos Gold Inc.

May

17/8.25

59,990

1,000

Alamos Gold Inc.

Jun.

17/7.50

122,500

1,000

Alamos Gold Inc.

Jul.

17/7.50

134,580

Anadarko Petroleum Corp.

Apr.

17/70

Anadarko Petroleum Corp.

May

17/67.50

3,780

Anadarko Petroleum Corp.

Jun.

17/62.50

27,540

235

AngloGold Ashanti Ltd.

Apr.

17/12

1,880

275

AngloGold Ashanti Ltd.

May

17/11

23,543

290

AngloGold Ashanti Ltd.

Jun.

17/10

37,335

Antofagasta plc(g)

Apr.

17/720

76,328

Antofagasta plc(g)

May

17/820

30,170

Antofagasta plc(g)

Jun.

17/800

43,100

Apache Corp.

Apr.

17/55

1,080

Apache Corp.

May

17/55

5,349

Apache Corp.

Jun.

17/52.50

19,782

278

Archer-Daniels-Midland Co.

Apr.

17/44

63,331

240

Archer-Daniels-Midland Co.

May

17/44

61,814

278

Archer-Daniels-Midland Co.

Jun.

17/45

61,855

500

Asanko Gold Inc.(f)

Apr.

17/5

940

1,000

B2Gold Corp.

Apr.

17/2.50

35,000

1,000

B2Gold Corp.

May

17/3

14,320

850

B2Gold Corp.

May

17/3.50

3,536

1,600

B2Gold Corp.

Jun.

17/2.75

48,576

Baker Hughes Inc.

Apr.

17/62.50

1,800

Baker Hughes Inc.

May

17/60

12,931

Baker Hughes Inc.

Jun.

17/60

10,775

200

Barrick Gold Corp.

Apr.

17/15

83,200

200

Barrick Gold Corp.

Apr.

17/16

63,000

400

Barrick Gold Corp.

May

17/17

94,000

Barrick Gold Corp.

Jun.

17/17

14,300

385

Barrick Gold Corp.

Jun.

17/18

70,840

133

BP plc, ADR

Apr.

17/37

133

145

BP plc, ADR

May

17/34

12,902

165

BP plc, ADR

Jun.

17/34

19,470

100

Bunge Ltd.

Apr.

17/67.50

120,500

Bunge Ltd.

May

17/75

43,878

Bunge Ltd.

Jul.

17/82.50

19,875

100

Cabot Oil & Gas Corp.

Apr.

17/23

11,500

100

Cabot Oil & Gas Corp.

May

17/23

11,733

Number of
Contracts

Expiration Date/
Exercise Price

Market

Value

OPTIONS CONTRACTS WRITTEN (e) (Continued)

Call Options Written (Continued)

100

Cabot Oil & Gas Corp.

Jun.

17/22

22,036

750

Centerra Gold Inc.(f)

Apr.

17/7

43,708

100

CF Industries Holdings Inc.

Apr.

17/35

384

100

CF Industries Holdings Inc.

May

17/35

2,900

100

CF Industries Holdings Inc.

Jun.

17/32.50

9,910

Cheniere Energy Inc.

Apr.

17/42.50

25,200

Cheniere Energy Inc.

Jun.

17/45

24,000

Chevron Corp.

Apr.

17/115

312

Chevron Corp.

May

17/110

9,010

Chevron Corp.

Jun.

17/110

8,700

Cimarex Energy Co.

Apr.

17/130

160

Cimarex Energy Co.

Jun.

17/125

3,120

500

CNH Industrial NV

Apr.

17/9

38,405

480

CNH Industrial NV

May

17/9

37,032

500

CNH Industrial NV

Jun.

17/10

15,000

Concho Resources Inc.

Apr.

17/135

1,125

Concho Resources Inc.

May

17/140

4,537

Concho Resources Inc.

Jun.

17/130

19,200

ConocoPhillips

Apr.

17/50

4,950

ConocoPhillips

May

17/49

11,400

ConocoPhillips

Jun.

17/46

32,624

140

Deere & Co.

Apr.

17/100

129,906

140

Deere & Co.

May

17/105

91,700

140

Deere & Co.

Jun.

17/110

56,700

375

Detour Gold Corp.(f)

Apr.

17/19

1,410

200

Detour Gold Corp.(f)

Apr.

17/20

376

375

Detour Gold Corp.(f)

May

17/16

20,867

375

Detour Gold Corp.(f)

May

17/20

2,679

335

Detour Gold Corp.(f)

Jun.

17/14

52,019

200

Detour Gold Corp.(f)

Jul.

17/19

8,422

Devon Energy Corp.

Apr.

17/45

700

Devon Energy Corp.

May

17/45

3,814

Devon Energy Corp.

Jun.

17/45

6,667

Diamondback Energy Inc.

Apr.

17/100

20,000

Diamondback Energy Inc.

Jun.

17/105

34,450

2,350

Eldorado Gold Corp.

Apr.

17/3.50

25,850

500

Eldorado Gold Corp.

May

17/3.50

5,165

500

Eldorado Gold Corp.

May

17/4

1,575

350

Eldorado Gold Corp.

Jun.

17/3

21,049

100

Enbridge Inc.

Apr.

17/43

2,450

Enbridge Inc.

May

17/42

5,723

Enbridge Inc.

Jul.

17/41

10,667

140

Energy Select Sector SPDR Fund

May

17/66.50

56,000

Eni SpA(h)

Apr.

17/15

9,588

Eni SpA(h)

May

17/14

25,622

Eni SpA(h)

Jun.

17/15

12,780

EOG Resources Inc.

Apr.

17/105

1,170

EOG Resources Inc.

May

17/100

14,926

EOG Resources Inc.

Jun.

17/97.50

32,611

Number of
Contracts

Expiration Date/
Exercise Price

Market

Value

EQT Corp.

May

17/65

1,504

EQT Corp.

Jun.

17/55

14,800

200

Exxon Mobil Corp.

Apr.

17/87.50

600

200

Exxon Mobil Corp.

May

17/82.50

41,650

130

Exxon Mobil Corp.

Jun.

17/80

43,550

Exxon Mobil Corp.

Jun.

17/82.50

13,160

FMC Corp.

Apr.

17/57.50

73,800

FMC Corp.

May

17/57.50

29,751

FMC Corp.

Jul.

17/60

63,000

200

Franco-Nevada Corp.

Apr.

17/65

39,000

Franco-Nevada Corp.

May

17/60

46,143

125

Franco-Nevada Corp.

May

17/65

39,136

200

Franco-Nevada Corp.

Jun.

17/61.50

114,194

1,000

Gold Fields Ltd., ADR

Apr.

17/3

54,000

1,550

Gold Fields Ltd., ADR

May

17/3.50

42,672

1,000

Gold Fields Ltd., ADR

Jun.

17/3.50

33,350

430

Goldcorp Inc.

Apr.

17/14

36,980

400

Goldcorp Inc.

May

17/15

43,968

400

Goldcorp Inc.

Jun.

17/14

52,976

110

Halliburton Co.

Apr.

17/55

550

100

Halliburton Co.

May

17/55

2,900

Halliburton Co.

Jun.

17/47.50

9,659

Halliburton Co.

Jun.

17/50

4,769

Helmerich & Payne Inc.

Apr.

17/70

300

Helmerich & Payne Inc.

Apr.

17/75

Helmerich & Payne Inc.

May

17/70

2,564

Helmerich & Payne Inc.

Jun.

17/70

4,000

Hess Corp.

Apr.

17/52.50

Hess Corp.

Apr.

17/55

120

Hess Corp.

May

17/52.50

1,656

Hess Corp.

Jun.

17/50

5,349

180

Kinder Morgan Inc.

Apr.

17/22

3,440

175

Kinder Morgan Inc.

May

17/22

7,231

180

Kinder Morgan Inc.

Jun.

17/22

13,500

675

Klondex Mines Ltd.(f)

Apr.

17/7

1,269

280

Klondex Mines Ltd.(f)

May

17/6

4,211

280

Klondex Mines Ltd.(f)

May

17/7

1,579

500

Klondex Mines Ltd.(f)

Jun.

17/7

4,136

500

Kubota Corp.(i)

May

17/1700

26,529

500

Kubota Corp.(i)

Jun.

17/1700

35,065

500

Kubota Corp.(i)

Jul.

17/1700

41,860

300

MAG Silver Corp.(f)

Apr.

17/20

3,948

300

MAG Silver Corp.(f)

May

17/20

10,713

180

MAG Silver Corp.(f)

Jun.

17/18

18,273

Marathon Oil Corp.

Apr.

17/18

255

Marathon Oil Corp.

May

17/16

7,634

Marathon Oil Corp.

Jun.

17/16

8,772

Marathon Petroleum Corp.

Apr.

17/45

28,750

Marathon Petroleum Corp.

Jun.

17/50

14,500

125

Monsanto Co.

Apr.

17/110

46,250

135

Monsanto Co.

May

17/110

73,393

125

Monsanto Co.

Jun.

17/115

23,351

Number of
Contracts

Expiration Date/
Exercise Price

Market

Value

OPTIONS CONTRACTS WRITTEN (e) (Continued)

Call Options Written (Continued)

500

Newcrest Mining Ltd.(j)

Apr.

17/22

34,609

500

Newcrest Mining Ltd.(j)

May

17/23

31,144

500

Newcrest Mining Ltd.(j)

Jun.

17/23

47,945

500

Newcrest Mining Ltd.(j)

Jul.

17/21

95,500

Newfield Exploration Co.

Apr.

17/41

160

Newfield Exploration Co.

May

17/43

260

Newfield Exploration Co.

Jun.

17/36

4,680

260

Newmont Mining Corp.

Apr.

17/33

23,400

260

Newmont Mining Corp.

May

17/35

24,440

270

Newmont Mining Corp.

Jun.

17/30

110,970

Noble Energy Inc.

Apr.

17/40

250

Noble Energy Inc.

May

17/38

1,503

Noble Energy Inc.

Jun.

17/36

6,628

Noble Energy Inc.

Jul.

17/21

9,786

1,000

Northern Star Resources
Ltd(j)

Jun.

17/4

21,827

1,000

Northern Star Resources
Ltd(j)

Jul.

17/4

26,793

Occidental Petroleum Corp.

Apr.

17/65

1,330

Occidental Petroleum Corp.

May

17/70

450

Occidental Petroleum Corp.

Jun.

17/65

5,845

1,000

OceanaGold Corp.(f)

Apr.

17/4

18,799

1,700

OceanaGold Corp.(f)

May

17/4

44,742

1,000

OceanaGold Corp.(f)

Jun.

17/3.50

54,517

ONEOK Inc.

Apr.

17/59

231

ONEOK Inc.

May

17/54

6,624

250

Osisko Gold Royalties
Ltd.(f).

Apr.

17/15

6,580

220

Osisko Gold Royalties
Ltd.(f).

May

17/16

4,549

130

Osisko Gold Royalties
Ltd.(f).

Jun.

17/14

12,953

Patterson-UTI Energy Inc.

Apr.

17/25

3,750

Phillips 66

Apr.

17/82.50

895

Phillips 66

May

17/80

8,300

Phillips 66

Jun.

17/80

11,000

Pilgrim’s Pride Corp.

Apr.

17/22

6,750

Pilgrim’s Pride Corp.

Jun.

17/19

25,688

Pioneer Natural Resources Co.

Apr.

17/180

31,680

Pioneer Natural Resources Co.

May

17/195

14,068

Pioneer Natural Resources Co.

Jun.

17/190

31,120

450

Potash Corp of Saskatchewan Inc.

Apr.

17/18

5,162

454

Potash Corp of Saskatchewan Inc.

May

17/19

5,852

454

Potash Corp Of Saskatchewan Inc.

Jun.

17/18

21,338

140

Pretium Resources Inc.

Apr.

17/12

2,100

200

Pretium Resources Inc.

Jun.

17/8

58,000

150

Pretium Resources Inc.

Jun.

17/10

23,250

Number of
Contracts

Expiration Date/
Exercise Price

Market

Value

230

Randgold Resources Ltd., ADR

Apr.

17/85

85,100

Randgold Resources Ltd., ADR

May

17/82.50

41,700

170

Randgold Resources Ltd., ADR

May

17/87.50

98,607

230

Randgold Resources Ltd., ADR

Jun.

17/82.50

177,100

Range Resources Corp.

Apr.

17/29

4,750

Range Resources Corp.

Jun.

17/32

4,750

170

Rio Tinto plc, ADR

Apr.

17/45

1,700

170

Rio Tinto plc, ADR

May

17/45

10,635

170

Rio Tinto plc, ADR

Jun.

17/45

17,607

Royal Dutch Shell plc(g)

Apr.

17/2200

2,932

Royal Dutch Shell plc(g)

May

17/2100

25,233

Royal Dutch Shell plc(g)

Jun.

17/2200

14,549

160

Royal Gold Inc.

Apr.

17/67.50

53,920

150

Royal Gold Inc.

May

17/75

12,479

160

Royal Gold Inc.

Jun.

17/67.50

82,381

Schlumberger Ltd.

Apr.

17/82.50

1,234

Schlumberger Ltd.

Apr.

17/85

240

Schlumberger Ltd.

May

17/80

10,200

Schlumberger Ltd.

May

17/85

330

120

Schlumberger Ltd.

Jun.

17/77.50

33,120

Schlumberger Ltd.

Jun.

17/80

3,640

190

Silver Wheaton Corp.

Apr.

17/20

13,870

119

Silver Wheaton Corp.

May

17/20

18,445

185

Silver Wheaton Corp.

May

17/21

18,685

190

Silver Wheaton Corp.

Jun.

17/18

52,047

Suncor Energy Inc.

Apr.

17/31

3,908

Suncor Energy Inc.

May

17/32

3,558

Suncor Energy Inc.

Jun.

17/31

8,820

732

Tahoe Resources Inc.

Apr.

17/8.50

9,750

700

Tahoe Resources Inc.

May

17/9

16,478

1,070

Tahoe Resources Inc.

Jun.

17/7.50

100,580

700

Tahoe Resources Inc.

Jun.

17/67.50

64,995

TechnipFMC plc

Apr.

17/34

800

TechnipFMC plc

May

17/31

9,600

TechnipFMC plc

May

17/34

4,472

TechnipFMC plc

Jun.

17/34

4,505

Tesoro Corp.

Apr.

17/87.50

481

Tesoro Corp.

May

17/80

11,700

Tesoro Corp.

May

17/90

1,260

Tesoro Corp.

Jun.

17/85

4,734

190

The Mosaic Co.

Apr.

17/30

8,995

190

The Mosaic Co.

May

17/32

7,877

190

The Mosaic Co.

Jun.

17/30

24,130

120

The Williams Companies Inc.

Apr.

17/27

26,941

260

The Williams Companies Inc.

May

17/29

37,570

Number of
Contracts

Expiration Date/
Exercise Price

Market

Value

OPTIONS CONTRACTS WRITTEN (e) (Continued)

Call Options Written (Continued)

130

The Williams Companies Inc.

Jun.

17/29

21,320

330

Torex Gold Resources Inc.(f).

Apr.

17/25

49,630

330

Torex Gold Resources Inc.(f).

May

17/30

18,611

200

Torex Gold Resources Inc.(f).

Jun.

17/24

54,517

200

Torex Gold Resources Inc.(f).

Jul.

17/22

78,956

125

Total SA, ADR

Apr.

17/50

11,116

100

Total SA, ADR

May

17/50

17,000

125

Total SA, ADR

Jun.

17/50

20,508

Tractor Supply Co.

Apr.

17/75

275

Tractor Supply Co.

May

17/75

6,069

Tractor Supply Co.

Jul.

17/70

22,125

140

Tyson Foods Inc.

Apr.

17/65

2,100

140

Tyson Foods Inc.

May

17/65

23,842

140

Tyson Foods Inc.

Jun.

17/65

22,565

450

United States Commodities Fund LLC

Apr.

17/12

450

357

United States Commodities Fund LLC

May

17/11.50

3,927

403

United States Commodities Fund LLC

Jun.

17/11.50

8,463

Valero Energy Corp.

Apr.

17/65

12,281

Valero Energy Corp.

May

17/65

17,060

Valero Energy Corp.

Jun.

17/70

8,160

600

VanEck Vectors Gold Miners

ETF

Apr.

17/21

124,800

700

VanEck Vectors Gold Miners

ETF

Apr.

17/21.50

114,800

VanEck Vectors Gold Miners

ETF

May

17/20

15,550

VanEck Vectors Gold Miners

ETF

May

17/21

11,800

1,000

VanEck Vectors Gold Miners

ETF

May

17/24

69,000

500

VanEck Vectors Gold Miners

ETF

Jun.

17/21

129,500

500

VanEck Vectors Gold Miners

ETF

Jun.

17/22

96,500

500

VanEck Vectors Gold Miners

ETF

Jun.

17/23

71,000

200

Zoetis Inc.

Apr.

17/52.50

26,000

200

Zoetis Inc.

May

17/52.50

58,178

200

Zoetis Inc.

Jun.

17/55

22,184

TOTAL CALL OPTIONS WRITTEN

(Premiums received $9,395,812)

7,012,356


Aggregate premiums	$	(9,395,812	)

Gross unrealized appreciation	$	3,341,572
Gross unrealized depreciation		(958,116	)

Net unrealized appreciation/depreciation	$	2,383,456

(a)	Securities, or a portion thereof, with a value of $61,172,560 were deposited with the broker as collateral for securities sold short and options written.

(b)

Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, the market value of Rule 144A securities amounted to $467,467 or 0.30% of total investments.

(c)	At March 31, 2017, the Fund held an investment in a restricted and illiquid security amounting to $16,631 or 0.01% of total investments., which was valued under methods approved by the Board of Trustees as follows:


Acquisition Shares	Issuer	Acquisition Date		Acquisition Cost		03/31/17 Carrying Value Per Share
25,000	Osisko Mining Inc., expire 08/28/18		02/17/17	$	11,451	$	0.6652

(d)	At March 31, 2017, $3,000,000 of the principal amount was pledged as collateral for options written.

(e)	At March 31, 2017, the Fund had written Over-The-Counter Option Contracts with Pershing LLC, and Morgan Stanley, and Goldman Sachs Group, Inc.

(f)	Exercise price denoted in Canadian dollars.

(g)	Exercise price denoted in British pence.

(h)	Exercise price denoted in Euros.

(i)	Exercise price denoted in Japanese yen.

(j)	Exercise price denoted in Australian dollars.

†	Non-income producing security.

††	Represents annualized yield at date of purchase.

ADR American Depositary Receipt

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 schedule of investments. 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 schedule of investments.

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 “Adviser”).

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 security is valued using the closing bid price. Such debt obligations are valued through prices provided by a Pricing Service approved by the Board. Certain securities are valued principally using dealer quotations.

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:

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 March 31, 2017 is as follows:

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.

The Adviser reports quarterly to the Board the results of the application of fair valuation policies and procedures. These 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 of its 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 to it 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.

Swap Agreements. The Fund may enter into equity contract for difference swap transactions for the purpose of increasing the income of the Fund. The use of swaps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio security transactions. In an equity contract for difference swap, a set of future cash flows is exchanged between two counterparties. One of these cash flow streams will typically be based on a reference interest rate combined with the performance of a notional value of shares of a stock. The other will be based on the performance of the shares of a stock. Depending on the general state of short term interest rates and the returns on the Fund’s portfolio securities at the time an equity contract for difference swap transaction reaches its scheduled termination date, there is a risk that the Fund will not be able to obtain a replacement transaction or that the terms of the replacement will not be as favorable as on the expiring transaction.

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.

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 March 31, 2017 are reflected within the Schedule of Investments.

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 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 as of January 1, 2013. These trading restrictions 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. At March 31, 2017, there were no short sales outstanding.

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. At March 31, 2017, the Fund’s pro rata portion of the periodic expenses charged by the Acquired Funds was 1 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 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.

Tax Information. The Fund intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended.

At December 31, 2016, the Fund had net capital loss carryforwards for federal income tax purposes of $105,025,638 which are available to reduce future required distributions of net capital gains to shareholders for an unlimited period. These capital losses will retain their character as long term capital losses.

Caesar M. P. Bryan joined 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 Gabelli/GAMCO 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-Roche joined 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 Gabelli/GAMCO 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.

GAMCO NATURAL RESOURCES, GOLD

& INCOME TRUST

One Corporate Center

Rye, NY 10580-1422

t	800-GABELLI (800-422-3554)

f	914-921-5118

e	info@gabelli.com

GABELLI.COM

TRUSTEES

Anthony J. Colavita

President,

Anthony J. Colavita, P.C.

James P. Conn

Former Managing Director &

Chief Investment Officer,

Financial Security Assurance

Holdings Ltd.

Vincent D. Enright

Former Senior Vice President &

Chief Financial Officer,

KeySpan Corp.

Frank J. Fahrenkopf, Jr.

Former President &

Chief Executive Officer,

American Gaming Association

William F. Heitmann

Former Senior Vice President

of Finance,

Verizon Communications, Inc.

Michael J. Melarkey

Of Counsel,

McDonald Carano Wilson LLP

Kuni Nakamura

President,

Advanced Polymer, Inc.

Anthonie C. van Ekris

Chairman,

BALMAC International, Inc.

Salvatore J. Zizza

Chairman,

Zizza & Associates Corp.

OFFICERS

Bruce N. Alpert

President

Andrea R. Mango

Secretary & Vice President

Agnes Mullady

Treasurer

Richard J. Walz

Chief Compliance Officer

Carter W. Austin

Vice President

Molly A.F. Marion

Vice President & Ombudsman

David I. Schachter

Vice President & Ombudsman

INVESTMENT ADVISER

Gabelli Funds, LLC

One Corporate Center

Rye, New York 10580-1422

CUSTODIAN

The Bank of New York Mellon

COUNSEL

Skadden, Arps, Slate, Meagher &

Flom LLP

TRANSFER AGENT AND REGISTRAR

American Stock Transfer and

Trust Company

GNT Q1/2017

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


Geographic Diversification	% of Total Investments	Market Value

Long Positions
North America	70.6%	$	111,572,251
Europe	20.4		32,241,589
Latin America	3.3		5,251,547
Asia/Pacific	3.1		4,891,524
Japan	1.4		2,251,415
South Africa	1.2		1,920,600

Total Investments	100.0%	$	158,128,926


Short Positions
North America	(4.0)%	$	(6,410,781	)
Asia/Pacific	(0.2)		(257,820	)
Europe	(0.1)		(240,301	)
Japan	(0.1)		(103,454	)

Total Investments	(4.4)%	$	(7,012,356	)


	Valuation Inputs
	Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs	Total Market Value at 3/31/17
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Common Stocks
Metals and Mining		$60,939,786	$ 3,548,617	$ 64,488,403
Other (a)		83,640,817	—	83,640,817
Total Common Stocks		144,580,603	3,548,617	148,129,220
Convertible Preferred Stocks (a)		783,116	—	783,116
Warrants (a)		—	16,631	16,631
Convertible Corporate Bonds (a)		—	364,219	364,219
U.S. Government Obligations		—	8,835,740	8,835,740
TOTAL INVESTMENTS IN SECURITIES – ASSETS		$145,363,719	$ 12,765,207	$158,128,926
INVESTMENTS IN SECURITIES:
LIABILITIES (Market Value):
EQUITY CONTRACTS:
Call Options Written		$ (2,829,329)	$ (4,183,027)	$ (7,012,356)
TOTAL INVESTMENTS IN SECURITIES – LIABILITIES		$ (2,829,329)	$ (4,183,027)	$ (7,012,356)


By (Signature and Title)*		/s/ Bruce N. Alpert
		Bruce N. Alpert, Principal Executive Officer


By (Signature and Title)*		/s/ Agnes Mullady
		Agnes Mullady, Principal Financial Officer and Treasurer