GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments — March 31, 2019 (Unaudited)

Shares			Market Value
		COMMON STOCKS — 80.3%
		Agriculture — 6.2%
	76,000	Archer-Daniels-Midland Co.(a)	$	3,277,880
	30,500	Bunge Ltd.(a)		1,618,635
	108,990	Nutrien Ltd.(a)		5,750,312
				10,646,827
		Energy and Energy Services — 19.3%
	15,000	Anadarko Petroleum Corp.(a)		682,200
	11,400	Apache Corp.(a)		395,124
	13,500	Baker Hughes, a GE Company(a)		374,220
	42,000	BP plc, ADR(a)		1,836,240
	18,800	Cabot Oil & Gas Corp.(a)		490,680
	21,500	Chevron Corp.(a)		2,648,370
	3,100	Cimarex Energy Co		216,690
	5,800	Concho Resources Inc.(a)		643,568
	9,400	ConocoPhillips		627,356
	12,500	Devon Energy Corp.(a)		394,500
	4,000	Diamondback Energy Inc.		406,120
	41,500	Eni SpA		733,394
	11,700	EOG Resources Inc.(a)		1,113,606
	54,000	Exxon Mobil Corp.(a)		4,363,200
	26,000	Halliburton Co.(a)		761,800
	4,000	Helmerich & Payne Inc.		222,240
	3,100	Hess Corp.(a)		186,713
	7,000	HollyFrontier Corp.		344,890
	53,982	Kinder Morgan Inc.(a)		1,080,180
	25,000	Marathon Oil Corp.		417,750
	27,595	Marathon Petroleum Corp.(a)		1,651,561
	18,500	Noble Energy Inc.(a)		457,505
	12,000	Occidental Petroleum Corp.(a)		794,400
	8,000	ONEOK Inc.		558,720
	12,000	Phillips 66(a)		1,142,040
	4,100	Pioneer Natural Resources Co.(a)		624,348
	96,500	Royal Dutch Shell plc, Cl. A		3,033,457
	27,270	Schlumberger Ltd.(a)		1,188,154
	21,800	Suncor Energy Inc.(a)		706,974
	15,000	Sunoco LP		467,400
	17,000	TechnipFMC plc		399,840
	33,000	The Williams Companies Inc.(a)		947,760
	36,000	TOTAL SA, ADR(a)		2,003,400
	12,400	Valero Energy Corp.(a)		1,051,892
				32,966,292
		Food and Beverage — 2.0%
	42,000	Mowi ASA		937,397
	15,000	Pilgrim’s Pride Corp.†		334,350
	30,000	Tyson Foods Inc., Cl. A(a)		2,082,900
				3,354,647
		Health Care — 5.0%
	13,400	IDEXX Laboratories Inc.†(a)		2,996,240
	54,000	Zoetis Inc.(a)		5,436,180
				8,432,420

Shares			Market Value
		Machinery — 6.6%
	15,000	AGCO Corp.	$	1,043,250
	160,000	CNH Industrial NV(a)		1,632,000
	34,800	Deere & Co.(a)		5,562,432
	212,000	Kubota Corp.		3,059,587
				11,297,269
		Metals and Mining — 38.8%
	120,000	Agnico Eagle Mines Ltd.(a)		5,220,000
	100,000	Alacer Gold Corp.†		271,635
	623,416	Alamos Gold Inc., Cl. A(a)		3,166,953
	82,000	AngloGold Ashanti Ltd., ADR		1,074,200
	25,000	Antofagasta plc		314,543
	686,500	B2Gold Corp.†		1,929,065
	447,244	Barrick Gold Corp.(a)		6,131,715
	475,000	Belo Sun Mining Corp.†		104,856
	20,000	BHP Group Ltd., ADR		1,093,400
	600,000	Centamin plc		696,293
	355,000	Continental Gold Inc.†		767,726
	240,000	Detour Gold Corp.†		2,252,105
	63,500	Endeavour Mining Corp.†		953,201
	275,000	Evolution Mining Ltd.		714,666
	75,000	Fortuna Silver Mines Inc.†		251,250
	63,600	Franco-Nevada Corp.(a)		4,773,180
	292,548	Fresnillo plc		3,318,018
	221,800	Goldcorp Inc.(a)		2,537,392
	502,000	Harmony Gold Mining Co. Ltd., ADR†		953,800
	608,500	Hochschild Mining plc		1,637,397
	59,100	Kirkland Lake Gold Ltd.		1,797,302
	10,000	Labrador Iron Ore Royalty Corp.		219,853
	30,000	MAG Silver Corp., New York†(b)(c)		319,800
	50,000	MAG Silver Corp., Toronto†		533,000
	91,200	Newcrest Mining Ltd.		1,661,664
	99,500	Newmont Mining Corp.(a)		3,559,115
	67,085	Northern Dynasty Minerals Ltd.†		40,385
	136,256	Northern Star Resources Ltd.		865,901
	719,950	OceanaGold Corp.		2,262,723
	183,000	Osisko Gold Royalties Ltd.		2,055,472
	17,400	Pan American Silver Corp.		230,550
	600,000	Perseus Mining Ltd.†		195,974
	130,000	Pretium Resources Inc.†		1,112,800
	68,000	Rio Tinto plc, ADR(a)		4,001,800
	46,200	Royal Gold Inc.(a)		4,200,966
	70,000	SEMAFO Inc.†		194,335
	97,000	Torex Gold Resources Inc.†		1,220,893
	150,000	Wheaton Precious Metals Corp.(a)		3,573,000
				66,206,928
		Specialty Chemicals — 2.4%
	25,000	CF Industries Holdings Inc.(a)		1,022,000
	20,000	FMC Corp.(a)		1,536,400

1

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2019 (Unaudited)

Shares			Market Value
		COMMON STOCKS (Continued)
		Specialty Chemicals (Continued)
	58,500	The Mosaic Co.(a)	$	1,597,635
				4,156,035
		TOTAL COMMON STOCKS		137,060,418
		RIGHTS — 0.0%
		Metals and Mining — 0.0%
	90,000	Pan American Silver Corp., CVR†		27,000
Principal Amount
		CONVERTIBLE CORPORATE BONDS — 0.2%
		Metals and Mining — 0.2%
	$    350,000	Osisko Gold Royalties Ltd., 4.000%, 12/31/22		270,650
		CORPORATE BONDS — 0.2%
		Metals and Mining — 0.2%
	400,000	Eldorado Gold Corp., 6.125%, 12/15/20(c)		392,480
		U.S. GOVERNMENT OBLIGATIONS — 19.3%
	33,153,000	U.S. Treasury Bills, 2.339% to 2.481%††, 04/04/19 to 09/19/19(d)		33,020,801
		TOTAL INVESTMENTS BEFORE OPTIONS WRITTEN — 100.0% (Cost $199,349,793)	$	170,771,349

(a) Securities, or a portion thereof, with a value of $72,124,223 were deposited with the broker as collateral for options written.

(b) At March 31, 2019, the Fund held an investment in a restricted and illiquid security amounting to $319,800 or 0.19% of total investments before options written, which was valued under methods approved by the Board of Trustees as follows:

Acquisition Shares	Issuer	Acquisition Date	Acquisition Cost		03/31/19 Carrying Value Per Share
30,000	MAG Silver Corp., New York	11/17/17		$314,100		$10.6600

(c) 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, 2019, the market value of Rule 144A securities amounted to $712,280 or 0.42% of total investments before options written.

(d) At March 31, 2019, $15,500,000 of the principal amount was pledged as collateral for options written.

† Non-income producing security.

†† Represents annualized yields at dates of purchase.

ADR American Depositary Receipt

CVR Contingent Value Right

2

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2019 (Unaudited)

Geographic Diversification	% of Total Investments*			Market Value
Long Positions
North America		80.5	%		$	137,392,454
Europe		8.9				15,273,820
Asia/Pacific		4.0				6,794,328
Latin America		3.6				6,223,160
Japan		1.8				3,059,587
South Africa		1.2				2,028,000
Total Investments — Long Positions		100.0	%		$	170,771,349
Short Positions
North America		(5.8	)%		$	(9,962,976	)
Europe		(0.1	)			(160,711	)
Japan		(0.1	)			(64,039	)
Asia/Pacific		(0.0	)**			(34,912	)
Total Investments — Short Positions		(6.0	)%		$	(10,222,638	)

* Total investments exclude options written.

** Amount represents greater than (0.05)%.

As of March 31, 2019, options written outstanding were as follows:

Description	Counterparty	Number of Contracts		Notional Amount			Exercise Price			Expiration Date		Market Value
OTC Call Options Written — (3.5)%
Agnico Eagle Mines Ltd.	Pershing LLC		210		USD	913,500		USD	39.00		05/17/19	$	105,006
Agnico Eagle Mines Ltd.	Pershing LLC		187		USD	813,450		USD	47.00		06/21/19		18,016
Agnico Eagle Mines Ltd.	Pershing LLC		210		USD	913,500		USD	45.00		08/16/19		48,667
Agnico Eagle Mines Ltd.	Pershing LLC		360		USD	1,566,000		USD	41.00		09/20/19		171,970
Anadarko Petroleum Corp.	Pershing LLC		70		USD	318,360		USD	47.50		05/17/19		12,105
Anadarko Petroleum Corp.	Pershing LLC		30		USD	136,440		USD	50.00		08/16/19		6,644
Anadarko Petroleum Corp.	Pershing LLC		50		USD	227,400		USD	52.50		09/20/19		9,292
Antofagasta plc	Morgan Stanley		25		GBP	241,500		GBp	880.00		06/21/19		28,022
Apache Corp.	Pershing LLC		57		USD	197,562		USD	37.00		06/21/19		7,425
Apache Corp.	Pershing LLC		57		USD	197,562		USD	35.00		07/19/19		13,299
Archer-Daniels-Midland Co.	Pershing LLC		240		USD	1,035,120		USD	44.00		05/17/19		16,714
Archer-Daniels-Midland Co.	Pershing LLC		280		USD	1,207,640		USD	44.00		06/21/19		28,507
Archer-Daniels-Midland Co.	Pershing LLC		240		USD	1,035,120		USD	43.00		07/19/19		42,903

3

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2019 (Unaudited)

Description	Counterparty	Number of Contracts		Notional Amount		Exercise Price		Expiration Date	Market Value
B2Gold Corp.	Pershing LLC		1,120	USD	314,720	USD	3.50	06/21/19	$	18,381
B2Gold Corp.	Pershing LLC		2,250	USD	632,250	USD	3.00	07/19/19		81,872
B2Gold Corp.	Pershing LLC		1,000	USD	281,000	USD	3.15	09/20/19		42,601
B2Gold Corp.	Pershing LLC		2,300	USD	646,300	USD	3.25	10/18/19		100,921
Baker Hughes, a GE Company	Pershing LLC		65	USD	180,180	USD	25.00	07/19/19		22,558
Baker Hughes, a GE Company	Pershing LLC		70	USD	194,040	USD	29.50	10/18/19		11,687
Barrick Gold Corp.	Pershing LLC		125	USD	171,375	USD	87.50	06/21/19		56,617
Barrick Gold Corp.	Pershing LLC		1,531	USD	2,099,001	USD	14.00	08/16/19		127,773
Barrick Gold Corp.	Pershing LLC		375	USD	514,125	USD	13.00	09/20/19		55,666
BHP Group Ltd., ADR	Pershing LLC		100	USD	546,700	USD	52.50	08/16/19		46,619
BHP Group Ltd., ADR	Pershing LLC		100	USD	546,700	USD	53.00	01/17/20		52,660
BP plc, ADR	Pershing LLC		142	USD	620,824	USD	42.00	04/19/19		27,686
BP plc, ADR	Pershing LLC		75	USD	327,900	USD	44.00	06/21/19		9,063
BP plc, ADR	Pershing LLC		48	USD	209,856	USD	45.00	06/21/19		3,819
BP plc, ADR	Pershing LLC		155	USD	677,660	USD	40.00	07/19/19		62,728
Bunge Ltd.	Pershing LLC		115	USD	610,305	USD	60.00	07/19/19		9,487
Cabot Oil & Gas Corp.	Pershing LLC		90	USD	234,900	USD	24.00	07/19/19		26,574
CF Industries Holdings Inc.	Pershing LLC		120	USD	490,560	USD	46.50	05/17/19		3,529
CF Industries Holdings Inc.	Pershing LLC		130	USD	531,440	USD	45.00	08/16/19		21,273
Chevron Corp.	Pershing LLC		80	USD	985,440	USD	125.00	05/17/19		15,458
Chevron Corp.	Pershing LLC		50	USD	615,900	USD	110.00	06/21/19		67,416
Chevron Corp.	Pershing LLC		85	USD	1,047,030	USD	119.00	08/16/19		60,655
CNH Industrial NV	Pershing LLC		500	USD	510,000	USD	10.50	05/17/19		17,898
CNH Industrial NV	Pershing LLC		600	USD	612,000	USD	10.50	07/19/19		27,864
Concho Resources Inc.	Pershing LLC		15	USD	166,440	USD	137.00	08/16/19		2,725
ConocoPhillips	Pershing LLC		89	USD	593,986	USD	70.00	05/17/19		9,632
ConocoPhillips	Pershing LLC		55	USD	367,070	USD	62.50	06/21/19		32,661
ConocoPhillips	Pershing LLC		50	USD	333,700	USD	70.00	08/16/19		13,514
Deere & Co.	Pershing LLC		120	USD	1,918,080	USD	150.00	06/21/19		174,703
Deere & Co.	Pershing LLC		120	USD	1,918,080	USD	155.00	08/16/19		159,198
Deere & Co.	Pershing LLC		120	USD	1,918,080	USD	160.00	09/20/19		143,121
Diamondback Energy Inc.	Pershing LLC		20	USD	203,060	USD	105.00	07/19/19		12,517
Eni SpA	Morgan Stanley		43	EUR	338,711	EUR	15.50	06/21/19		10,933
Eni SpA	Morgan Stanley		40	EUR	315,080	EUR	15.00	07/19/19		18,271
Eni SpA	Morgan Stanley		40	EUR	315,080	EUR	15.50	09/20/19		15,640
Evolution Mining Ltd.	The Goldman Sachs Group, Inc.		2,000	AUD	732,000	AUD	3.75	07/19/19		34,912
Exxon Mobil Corp.	Pershing LLC		90	USD	727,200	USD	80.00	04/19/19		14,469
Exxon Mobil Corp.	Pershing LLC		145	USD	1,171,600	USD	75.00	06/21/19		89,964

4

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2019 (Unaudited)

Description	Counterparty	Number of Contracts		Notional Amount		Exercise Price		Expiration Date	Market Value
Exxon Mobil Corp.	Pershing LLC		115	USD	929,200	USD	75.00	07/19/19	$	76,366
Exxon Mobil Corp.	Pershing LLC		45	USD	363,600	USD	80.00	08/16/19		14,015
Exxon Mobil Corp.	Pershing LLC		145	USD	1,171,600	USD	82.00	08/16/19		31,125
FMC Corp.	Pershing LLC		100	USD	768,200	USD	80.00	04/19/19		3,947
FMC Corp.	Pershing LLC		100	USD	768,200	USD	82.50	07/19/19		18,493
Franco-Nevada Corp.	Pershing LLC		230	USD	1,726,150	USD	77.50	04/19/19		13,290
Franco-Nevada Corp.	Pershing LLC		50	USD	375,250	USD	70.00	07/19/19		34,158
Franco-Nevada Corp.	Pershing LLC		140	USD	1,050,700	USD	76.00	07/19/19		45,951
Franco-Nevada Corp.	Pershing LLC		216	USD	1,621,080	USD	72.00	09/20/19		139,149
Goldcorp Inc.	Pershing LLC		397	USD	454,168	USD	11.00	06/21/19		33,247
Halliburton Co.	Pershing LLC		85	USD	249,050	USD	32.50	06/21/19		4,902
Halliburton Co.	Pershing LLC		175	USD	512,750	USD	30.00	07/19/19		29,145
Helmerich & Payne Inc.	Pershing LLC		20	USD	111,120	USD	52.50	05/17/19		8,217
Helmerich & Payne Inc.	Pershing LLC		20	USD	111,120	USD	50.00	09/20/19		14,960
Hess Corp.	Pershing LLC		20	USD	120,460	USD	58.00	06/21/19		10,520
HollyFrontier Corp.	Pershing LLC		35	USD	172,445	USD	60.00	09/20/19		3,538
HollyFrontier Corp.	Pershing LLC		35	USD	172,445	USD	55.00	01/17/20		11,496
Kinder Morgan Inc.	Pershing LLC		180	USD	360,180	USD	18.00	05/17/19		34,992
Kinder Morgan Inc.	Pershing LLC		180	USD	360,180	USD	20.00	07/19/19		14,693
Kinder Morgan Inc.	Pershing LLC		180	USD	360,180	USD	20.00	09/20/19		17,567
Kubota Corp.	Morgan Stanley		700	JPY	111,965,000	JPY	1,750.00	05/17/19		4,341
Kubota Corp.	The Goldman Sachs Group, Inc.		70,000	JPY	111,965,000	JPY	1,700.00	07/19/19		22,345
Kubota Corp.	The Goldman Sachs Group, Inc.		720	JPY	115,164,000	JPY	1,700.00	09/20/19		37,352
Marathon Oil Corp.	Pershing LLC		125	USD	208,875	USD	18.00	07/19/19		9,450
Marathon Petroleum Corp.	Pershing LLC		95	USD	568,575	USD	65.00	06/21/19		11,278
Marathon Petroleum Corp.	Pershing LLC		92	USD	550,620	USD	67.50	07/19/19		9,353
Marathon Petroleum Corp.	Pershing LLC		65	USD	389,025	USD	67.50	08/16/19		8,947
Marathon Petroleum Corp.	Pershing LLC		24	USD	143,640	USD	67.50	09/20/19		3,975
MOWI ASA	Morgan Stanley		42,000	NOK	8,085,000	NOK	200.00	09/20/19		35,560
Newmont Mining Corp.	Pershing LLC		250	USD	894,250	USD	35.00	06/21/19		53,753
Newmont Mining Corp.	Pershing LLC		150	USD	536,550	USD	35.00	08/16/19		40,924
Newmont Mining Corp.	Pershing LLC		150	USD	536,550	USD	36.00	08/16/19		33,058
Noble Energy Inc.	Pershing LLC		92	USD	227,516	USD	25.00	05/17/19		11,819
Noble Energy Inc.	Pershing LLC		93	USD	229,989	USD	25.00	08/16/19		21,134
Nutrien Ltd.	Pershing LLC		375	USD	1,978,500	USD	47.50	05/17/19		218,152
Nutrien Ltd.	Pershing LLC		340	USD	1,793,840	USD	50.00	06/21/19		141,573
Nutrien Ltd.	Pershing LLC		375	USD	1,978,500	USD	55.00	07/19/19		57,382
Occidental Petroleum Corp.	Pershing LLC		35	USD	231,700	USD	65.00	04/19/19		7,151

5

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2019 (Unaudited)

Description	Counterparty	Number of Contracts		Notional Amount		Exercise Price		Expiration Date		Market Value
Occidental Petroleum Corp.	Pershing LLC		85	USD	562,700	USD	67.50		07/19/19	$	21,706
ONEOK Inc.	Pershing LLC		40	USD	279,360	USD	62.50		04/19/19		29,556
ONEOK Inc.	Pershing LLC		40	USD	279,360	USD	60.00		07/19/19		40,066
Phillips 66	Pershing LLC		40	USD	380,680	USD	90.00		05/17/19		24,670
Phillips 66	Pershing LLC		40	USD	380,680	USD	97.50		08/16/19		16,452
Phillips 66	Pershing LLC		40	USD	380,680	USD	97.50		09/20/19		17,496
Pretium Resources Inc.	Pershing LLC		550	USD	470,800	USD	10.00		11/15/19		45,931
Pretium Resources Inc.	Pershing LLC		400	USD	342,400	USD	9.00		12/20/19		51,417
Rio Tinto plc, ADR	Pershing LLC		170	USD	1,000,450	USD	50.00		04/19/19		152,209
Rio Tinto plc, ADR	Pershing LLC		170	USD	1,000,450	USD	50.00		07/19/19		165,796
Rio Tinto plc, ADR	Pershing LLC		170	USD	1,000,450	USD	60.00		08/16/19		41,480
Rio Tinto plc, ADR	Pershing LLC		170	USD	1,000,450	USD	52.50		09/20/19		125,761
Royal Dutch Shell plc	Morgan Stanley		39	GBP	941,265	GBp	2,450.00		04/19/19		11,962
Royal Dutch Shell plc	Morgan Stanley		38	GBP	917,130	GBp	2,500.00		06/21/19		17,754
Royal Dutch Shell plc	Morgan Stanley		20	GBP	482,700	GBp	2,400.00		08/16/19		22,570
Royal Gold Inc.	Pershing LLC		132	USD	1,200,276	USD	90.00		06/21/19		61,865
Royal Gold Inc.	Pershing LLC		170	USD	1,545,810	USD	85.00		07/19/19		140,076
Royal Gold Inc.	Pershing LLC		160	USD	1,454,880	USD	87.50		08/16/19		117,098
Schlumberger Ltd.	Pershing LLC		90	USD	392,130	USD	45.00		06/21/19		13,174
Schlumberger Ltd.	Pershing LLC		70	USD	304,990	USD	47.00		07/19/19		8,029
Schlumberger Ltd.	Pershing LLC		45	USD	196,065	USD	41.50		08/16/19		18,141
Schlumberger Ltd.	Pershing LLC		23	USD	100,211	USD	45.00		08/16/19		5,078
Suncor Energy Inc.	Pershing LLC		73	USD	236,739	USD	30.00		06/21/19		21,447
Suncor Energy Inc.	Pershing LLC		75	USD	243,225	USD	33.00		07/19/19		10,054
Suncor Energy Inc.	Pershing LLC		70	USD	227,010	USD	34.00		09/20/19		8,910
TechnipFMC plc	Pershing LLC		85	USD	199,920	USD	25.00		07/19/19		9,521
TechnipFMC plc	Pershing LLC		85	USD	199,920	USD	25.00		10/18/19		14,721
The Williams Companies Inc.	Pershing LLC		45	USD	129,240	USD	27.00		06/21/19		9,395
The Williams Companies Inc.	Pershing LLC		46	USD	132,112	USD	29.50		07/19/19		4,054
The Williams Companies Inc.	Pershing LLC		110	USD	315,920	USD	28.00		08/16/19		20,444
TOTAL SA, ADR	Pershing LLC		120	USD	667,800	USD	57.50		05/17/19		8,024
TOTAL SA, ADR	Pershing LLC		115	USD	639,975	USD	57.50		06/21/19		9,379
TOTAL SA, ADR	Pershing LLC		125	USD	695,625	USD	57.50		08/16/19		17,296
Tyson Foods Inc.	Pershing LLC		150	USD	1,041,450	USD	55.00		04/19/19		217,683
Tyson Foods Inc.	Pershing LLC		150	USD	1,041,450	USD	60.00		07/19/19		153,527
Valero Energy Corp.	Pershing LLC		42	USD	356,286	USD	85.00		06/21/19		17,325
Valero Energy Corp.	Pershing LLC		42	USD	356,286	USD	87.50		06/21/19		12,408
Valero Energy Corp.	Pershing LLC		40	USD	339,320	USD	85.00		09/20/19		23,172

6

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2019 (Unaudited)

Description	Counterparty	Number of Contracts		Notional Amount		Exercise Price		Expiration Date		Market Value
VanEck Vectors Gold Miners ETF	Pershing LLC		835	USD	1,872,070	USD	21.00		07/19/19	$	181,195
VanEck Vectors Gold Miners ETF	Pershing LLC		275	USD	616,550	USD	22.50		08/16/19		36,896
Wheaton Precious Metals Corp.	Pershing LLC		435	USD	1,036,170	USD	23.00		07/19/19		77,600
Wheaton Precious Metals Corp.	Pershing LLC		110	USD	262,020	USD	22.00		08/16/19		28,725
Wheaton Precious Metals Corp.	Pershing LLC		371	USD	883,722	USD	25.00		08/16/19		39,838
Wheaton Precious Metals Corp.	Pershing LLC		484	USD	1,152,888	USD	26.00		09/20/19		45,894
Zoetis Inc.	Pershing LLC		180	USD	1,812,060	USD	85.00		06/21/19		296,014
TOTAL OTC CALL OPTIONS WRITTEN										$	5,910,762

Description	Number of Contracts		Notional Amount			Exercise Price			Expiration Date		Market Value
Exchange Traded Call Options Written — (2.4)%
AGCO Corp.		75		USD	521,625		USD	60.00		05/17/19	$	74,250
AGCO Corp.		75		USD	521,625		USD	65.00		08/16/19		54,000
Agnico Eagle Mines Ltd.		233		USD	1,013,550		USD	44.00		08/16/19		67,570
Alacer Gold Corp.		1,000		CAD	363,000		CAD	4.00		07/19/19		24,320
Alamos Gold Inc.		2,100		USD	1,066,800		USD	5.00		06/21/19		105,000
Alamos Gold Inc.		2,100		USD	1,066,800		USD	5.00		09/20/19		136,500
AngloGold Ashanti Ltd., ADR		410		USD	537,100		USD	12.00		04/18/19		55,350
AngloGold Ashanti Ltd., ADR		410		USD	537,100		USD	12.00		07/19/19		68,675
Barrick Gold Corp.		1,800		USD	2,467,800		USD	13.00		07/19/19		244,800
Cabot Oil & Gas Corp.		90		USD	234,900		USD	24.00		04/18/19		20,025
Cimarex Energy Co.		15		USD	104,850		USD	75.00		06/21/19		3,900
Cimarex Energy Co.		8		USD	55,920		USD	75.00		12/20/19		5,160
Cimarex Energy Co.		7		USD	48,930		USD	80.00		12/20/19		3,325
CNH Industrial NV		500		USD	510,000		USD	10.00		06/21/19		31,250
Concho Resources Inc.		8		USD	88,768		USD	110.00		06/21/19		7,040
Concho Resources Inc.		23		USD	255,208		USD	120.00		06/21/19		8,947
Concho Resources Inc.		7		USD	77,672		USD	110.00		09/20/19		7,980
Concho Resources Inc.		20		USD	221,920		USD	115.00		09/20/19		18,100
Detour Gold Corp.		725		CAD	909,150		CAD	11.50		05/17/19		77,309
Detour Gold Corp.		1,315		CAD	1,649,010		CAD	13.00		07/19/19		81,182
Detour Gold Corp.		360		CAD	451,440		CAD	14.00		10/18/19		23,302
Devon Energy Corp.		12		USD	37,872		USD	30.00		07/19/19		4,428
Devon Energy Corp.		50		USD	157,800		USD	32.00		07/19/19		12,050
Devon Energy Corp.		63		USD	198,828		USD	31.00		10/18/19		24,255
Diamondback Energy Inc.		20		USD	203,060		USD	100.00		08/16/19		19,500

7

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2019 (Unaudited)

Description	Number of Contracts		Notional Amount			Exercise Price			Expiration Date	Market Value
Encana Ltd.		35		USD	67,658		USD	19.00	06/21/19	$	17,288
Endeavour Mining Corp.		160		CAD	320,960		CAD	19.00	04/18/19		15,864
Endeavour Mining Corp.		160		CAD	320,960		CAD	22.00	07/19/19		8,082
Endeavour Mining Corp.		165		CAD	330,990		CAD	22.00	09/20/19		13,273
Endeavour Mining Corp.		150		CAD	300,900		CAD	22.00	10/18/19		16,837
EOG Resources Inc.		52		USD	494,936		USD	100.00	04/18/19		4,992
EOG Resources Inc.		50		USD	475,900		USD	95.00	06/21/19		29,500
EOG Resources Inc.		50		USD	475,900		USD	105.00	07/19/19		13,450
Fortuna Silver Mines Inc.		750		USD	251,250		USD	4.00	06/21/19		7,500
Goldcorp Inc.		476		USD	544,544		USD	9.00	04/18/19		119,000
Goldcorp Inc.		800		USD	915,200		USD	11.00	07/19/19		72,000
Goldcorp Inc.		545		USD	623,480		USD	11.00	10/18/19		61,858
Harmony Gold Mining Co. Ltd., ADR		1,500		USD	285,000		USD	2.00	08/16/19		30,000
Harmony Gold Mining Co. Ltd., ADR		1,675		USD	318,250		USD	2.00	11/15/19		41,875
Hess Corp.		22		USD	132,506		USD	60.00	08/16/19		12,046
IDEXX Laboratories Inc.		45		USD	1,006,200		USD	200.00	04/18/19		106,650
IDEXX Laboratories Inc.		45		USD	1,006,200		USD	195.00	07/19/19		148,725
IDEXX Laboratories Inc.		45		USD	1,006,200		USD	210.00	12/20/19		134,550
Kirkland Lake Gold Ltd.		11		CAD	44,704		CAD	26.00	04/18/19		12,121
Kirkland Lake Gold Ltd.		300		CAD	1,219,200		CAD	36.00	09/20/19		157,144
Kirkland Lake Gold Ltd.		280		CAD	1,137,920		CAD	48.00	10/18/19		40,858
MAG Silver Corp.		400		USD	426,400		USD	7.50	05/17/19		130,000
MAG Silver Corp.		400		USD	426,400		USD	10.00	08/16/19		59,000
Marathon Oil Corp.		125		USD	208,875		USD	18.00	04/18/19		1,125
OceanaGold Corp.		1,400		CAD	588,000		CAD	4.00	04/18/19		30,381
OceanaGold Corp.		700		CAD	294,000		CAD	5.00	04/18/19		1,048
OceanaGold Corp.		2,500		CAD	1,050,000		CAD	5.00	07/19/19		19,643
OceanaGold Corp.		2,600		CAD	1,092,000		CAD	4.50	09/20/19		58,368
Osisko Gold Royalties Ltd.		300		CAD	450,300		CAD	12.00	06/21/19		69,593
Osisko Gold Royalties Ltd.		569		CAD	854,069		CAD	13.00	07/19/19		95,802
Osisko Gold Royalties Ltd.		500		CAD	750,500		CAD	15.00	07/19/19		33,674
Osisko Gold Royalties Ltd.		390		CAD	585,390		CAD	15.00	10/18/19		34,291
Pan American Silver Corp.		173		USD	229,225		USD	15.00	10/18/19		14,359
Pilgrim’s Pride Corp.		150		USD	334,350		USD	18.00	06/21/19		67,875
Pioneer Natural Resources Co.		17		USD	258,876		USD	145.00	06/21/19		24,735
Pioneer Natural Resources Co.		18		USD	274,104		USD	165.00	06/21/19		9,252
Pioneer Natural Resources Co.		16		USD	243,648		USD	150.00	09/20/19		26,624
Pretium Resources Inc.		350		USD	299,600		USD	8.00	01/17/20		57,750
SEMAFO Inc.		700		CAD	259,700		CAD	3.50	07/19/19		24,881
The Mosaic Co.		200		USD	546,200		USD	30.00	06/21/19		13,800
The Mosaic Co.		200		USD	546,200		USD	34.00	09/20/19		16,200
The Mosaic Co.		185		USD	505,235		USD	32.00	01/17/20		25,345
Torex Gold Resources Inc.		360		CAD	605,520		CAD	17.00	04/18/19		14,816

8

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2019 (Unaudited)

Description	Number of Contracts		Notional Amount			Exercise Price			Expiration Date		Market Value
Torex Gold Resources Inc.		250		CAD	420,500		CAD	15.00		07/19/19	$	50,043
Torex Gold Resources Inc.		250		CAD	420,500		CAD	15.00		09/20/19		55,655
VanEck Vectors Gold Miners ETF		300		USD	672,600		USD	21.00		06/21/19		58,200
VanEck Vectors Gold Miners ETF		590		USD	1,322,780		USD	22.00		06/21/19		77,290
VanEck Vectors Gold Miners ETF		300		USD	672,600		USD	24.00		06/21/19		14,700
VanEck Vectors Gold Miners ETF		385		USD	863,170		USD	22.00		08/16/19		67,760
VanEck Vectors Gold Miners ETF		360		USD	807,120		USD	24.00		08/16/19		30,240
VanEck Vectors Gold Miners ETF		650		USD	1,457,300		USD	22.50		09/20/19		104,000
Wheaton Precious Metals Corp.		100		USD	238,200		USD	22.50		06/21/19		18,400
Zoetis Inc.		180		USD	1,812,060		USD	85.00		04/18/19		271,800
Zoetis Inc.		180		USD	1,812,060		USD	85.00		07/19/19		297,000
TOTAL EXCHANGE TRADED CALL OPTIONS WRITTEN											$	4,115,481
Exchange Traded Put Options Written — (0.1)%
Energy Select Sector SPDR ETF		370		USD	2,446,440		USD	60.00		03/29/19	$	370
Energy Select Sector SPDR ETF		395		USD	2,611,740		USD	59.00		06/21/19		22,515
Energy Select Sector SPDR ETF		380		USD	2,512,560		USD	62.00		09/20/19		80,560
VanEck Vectors Gold Miners ETF		2,400		USD	5,380,800		USD	19.00		04/18/19		2,400
VanEck Vectors Gold Miners ETF		2,500		USD	5,605,000		USD	19.00		06/21/19		21,250
VanEck Vectors Gold Miners ETF		1,100		USD	2,466,200		USD	20.00		07/19/19		29,700
VanEck Vectors Gold Miners ETF		1,100		USD	2,466,200		USD	20.50		07/19/19		39,600
TOTAL EXCHANGE TRADED PUT OPTIONS WRITTEN											$	196,395
TOTAL OPTIONS WRITTEN											$	10,222,638

9