Accurately,"of course"means"当然" in Chinese. In the dialogue you mentioned, you can use "of course" independently.
"Did you bring your passport?" "Yes, of course." or "Of course."
"自然" means "nature" or "naturally" or "natural".
- 磁力是一种自然现象。Magnetism is a natural phenomenon.
- 我们欣赏大自然的美。We enjoyed the beauty of nature.
- 最好是不服用药物自然入睡。It is better to sleep naturally than taking medicine.