<?xml version="1.0"?>
<ownershipDocument>

    <schemaVersion>X0203</schemaVersion>

    <documentType>3</documentType>

    <periodOfReport>2008-06-19</periodOfReport>

    <noSecuritiesOwned>0</noSecuritiesOwned>

    <issuer>
        <issuerCik>0001293613</issuerCik>
        <issuerName>Kayne Anderson MLP Investment CO</issuerName>
        <issuerTradingSymbol>KYN</issuerTradingSymbol>
    </issuer>

    <reportingOwner>
        <reportingOwnerId>
            <rptOwnerCik>0000837010</rptOwnerCik>
            <rptOwnerName>ING LIFE INSURANCE &amp; ANNUITY CO</rptOwnerName>
        </reportingOwnerId>
        <reportingOwnerAddress>
            <rptOwnerStreet1>C/O ING INVESTMENT MANAGEMENT LLC</rptOwnerStreet1>
            <rptOwnerStreet2>5780 POWERS FERRY ROAD, NW, SUITE 300</rptOwnerStreet2>
            <rptOwnerCity>ATLANTA</rptOwnerCity>
            <rptOwnerState>GA</rptOwnerState>
            <rptOwnerZipCode>30327-4347</rptOwnerZipCode>
            <rptOwnerStateDescription></rptOwnerStateDescription>
        </reportingOwnerAddress>
        <reportingOwnerRelationship>
            <isDirector>0</isDirector>
            <isOfficer>0</isOfficer>
            <isTenPercentOwner>0</isTenPercentOwner>
            <isOther>1</isOther>
            <otherText>See explanation below.</otherText>
        </reportingOwnerRelationship>
    </reportingOwner>

    <nonDerivativeTable>
        <nonDerivativeHolding>
            <securityTitle>
                <value>5.645% Series G Sr. Unsecured Notes due 2011</value>
            </securityTitle>
            <postTransactionAmounts>
                <valueOwnedFollowingTransaction>
                    <value>7000000</value>
                </valueOwnedFollowingTransaction>
            </postTransactionAmounts>
            <ownershipNature>
                <directOrIndirectOwnership>
                    <value>D</value>
                </directOrIndirectOwnership>
            </ownershipNature>
        </nonDerivativeHolding>
        <nonDerivativeHolding>
            <securityTitle>
                <value>5.847% Series I Sr. Unsecured Notes due 2012</value>
            </securityTitle>
            <postTransactionAmounts>
                <valueOwnedFollowingTransaction>
                    <value>10000000</value>
                </valueOwnedFollowingTransaction>
            </postTransactionAmounts>
            <ownershipNature>
                <directOrIndirectOwnership>
                    <value>D</value>
                </directOrIndirectOwnership>
            </ownershipNature>
        </nonDerivativeHolding>
        <nonDerivativeHolding>
            <securityTitle>
                <value>5.991% Series K Sr. Unsecured Notes due 2013</value>
            </securityTitle>
            <postTransactionAmounts>
                <valueOwnedFollowingTransaction>
                    <value>14000000</value>
                </valueOwnedFollowingTransaction>
            </postTransactionAmounts>
            <ownershipNature>
                <directOrIndirectOwnership>
                    <value>D</value>
                </directOrIndirectOwnership>
            </ownershipNature>
        </nonDerivativeHolding>
    </nonDerivativeTable>

    <remarks>Filed pursuant to Section 30(h) of the Investment Company Act of 1940. The reporting party and its affiliates own in excess of 10% of the referenced securities.</remarks>

    <ownerSignature>
        <signatureName>/s/Christopher P. Lyons, Senior Vice President, ING Investment Management LLC, as Agent</signatureName>
        <signatureDate>2008-06-23</signatureDate>
    </ownerSignature>
</ownershipDocument>
