If you look at the paper Strong and Weak Emergence by David J. Chalmers he states his belief that consciousness is the only example we have of strong emergence. However, he also states that it is quite possible that there is no such thing as strong emergence, and therefore, our perception of the mind as an example of strong emergence stems from our current lack of understanding of consciousness.
My guess is that the emergent nature of the mind is actually weak; that is, its behavior stems from the massive interaction of all the components of its circuitry. If this is correct, then we may still never be able to understand precisely how this emergence works. However, we will likely be able to simulate it. One test for strong versus weak emergence that has been suggested is whether the emergence can be simulated. Consider the emergent properties of Artificial Neural Networks (especially recent work with Deep Belief Nets).
That said, I would suggest that if the mind is strongly emergent, then it is not only natural, but is an example of nature at one of its most fundamental and mysterious points.