Form N-Q

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q


QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number         811-7484         

        Nuveen Massachusetts Premium Income Municipal Fund         
(Exact name of registrant as specified in charter)


        333 West Wacker Drive, Chicago, Illinois 60606         
(Address of principal executive offices) (Zip code)


Jessica R. Droeger—Vice President and Secretary
        333 West Wacker Drive, Chicago, Illinois 60606         
(Name and address of agent for service)

Registrant's telephone number, including area code:         312-917-7700        

Date of fiscal year end:            05/31          

Date of reporting period:          08/31/05         

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.

Item 1. Schedule of Investments

  Portfolio of Investments (Unaudited)
Nuveen Massachusetts Premium Income Municipal Fund (NMT)
August 31, 2005

  Principal      Optional Call          Market 
  Amount (000)    Description(1)    Provisions*    Ratings**      Value 
      Consumer Discretionary - 2.1% (1.4% of Total Investments)              
$   1,500    Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds, Crosstown   9/12 at 102.00    Ba3    $   1,517,505 
      Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax)              
      Consumer Staples - 0.8% (0.5% of Total Investments)              
  550    Guam Economic Development Authority, Tobacco Settlement Asset-Backed Bonds, Series 2001B, 5.500%,   5/11 at 100.00    Baa3      566,346 
      5/15/41              
      Education and Civic Organizations - 35.4% (24.3% of Total Investments)              
  200    Massachusetts Education Loan Authority, Student Loan Revenue Bonds, Issue E, Series 1995, 6.150%,   1/06 at 100.50    AAA      202,258 
      7/01/10 (Alternative Minimum Tax)- AMBAC Insured              
  1,550    Massachusetts Educational Finance Authority, Educational Loan Revenue Bonds, Series 2002E, 5.000%,   1/12 at 100.00    AAA      1,620,432 
      1/01/13 (Alternative Minimum Tax)- AMBAC Insured              
  1,745    Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy and   7/15 at 100.00    AAA      1,838,427 
      Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 - AGC Insured              
  1,090    Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University, Series   No Opt. Call    A3      1,300,817 
      1999P, 6.000%, 5/15/29              
  1,000    Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy and   7/13 at 101.00    Baa1      1,071,390 
      Allied Health Sciences, Series 2003C, 5.750%, 7/01/33              
  890    Massachusetts Development Finance Authority, Revenue Bonds, Curry College, Series 2000A, 6.000%,   3/09 at 101.00    A      959,731 
      3/01/20 - ACA Insured              
  750    Massachusetts Development Finance Authority, Revenue Bonds, Milton Academy, Series 2003A, 5.000%,   9/13 at 100.00    AA-      817,688 
      9/01/19              
  500    Massachusetts Development Finance Authority, Revenue Bonds, Belmont Hills School, Series 2001,   9/11 at 101.00    A      539,460 
      5.375%, 9/01/23              
  2,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston College, Series   6/13 at 100.00    AA-      2,188,060 
      2003N, 5.250%, 6/01/18              
  500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Worcester State College,   11/12 at 100.00    AAA      527,515 
      Series 2002, 5.000%, 11/01/32 - AMBAC Insured              
  1,500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, University of   10/11 at 100.00    AAA      1,627,260 
      Massachusetts - Worcester Campus, Series 2001B, 5.250%, 10/01/31 - FGIC Insured              
  555    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College, Series   7/13 at 100.00    AA+      602,036 
      2003H, 5.000%, 7/01/21              
  500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wellesley College, Series   7/13 at 100.00    AA+      532,450 
      2003H, 5.000%, 7/01/26              
  1,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Massachusetts Institute   No Opt. Call    AAA      1,142,250 
      of Technology, Series 2004M, 5.250%, 7/01/15              
  1,645    Massachusetts Industrial Finance Agency, Revenue Bonds, Whitehead Institute for Biomedical   1/06 at 100.00    Aa1      1,647,336 
      Research, Series 1993, 5.125%, 7/01/26              
  2,300    Massachusetts Industrial Finance Agency, Revenue Bonds, Belmont Hill School, Series 1998, 5.250%,   9/08 at 101.00    A      2,372,289 
      9/01/28              

4,000    New England Education Loan Marketing Corporation, Student Loan Revenue Bonds, Subordinate Series    No Opt. Call    A3        4,226,600 
    1992H, 6.900%, 11/01/09 (Alternative Minimum Tax)               
375    Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities    2/09 at 101.00    BBB      389,700 
    Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, Series 1999,               
    5.375%, 2/01/19               
725    University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series 2005-1,    No Opt. Call    AAA      805,461 
    5.000%, 5/01/15 - AMBAC Insured               
1,000    University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series 2004-1,    11/14 at 100.00    AAA      1,104,370 
    5.250%, 11/01/24 - AMBAC Insured               
    Healthcare - 16.8% (11.5% of Total Investments)               
1,500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, New England Medical    1/06 at 101.00    AAA      1,517,415 
    Center Hospitals, Series 1993G-1, 5.375%, 7/01/24 - MBIA Insured               
600    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, New England Medical    5/12 at 100.00    AAA      658,230 
    Center Hospitals, Series 2002H, 5.375%, 5/15/19 - FGIC Insured               
2,500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare    7/11 at 101.00    AA-      2,774,925 
    System Inc., Series 2001C, 5.750%, 7/01/32               
375    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial Health    7/11 at 100.00    BBB      412,530 
    Care, Series 2001C, 6.625%, 7/01/32               
1,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Health Care    11/11 at 101.00    AA      1,055,520 
    Inc., Series 2001C, 5.250%, 11/15/31 - RAAI Insured               
1,250    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Berkshire Health System,    10/11 at 101.00    BBB+      1,341,300 
    Series 2001E, 6.250%, 10/01/31               
1,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caritas Christi Obligated    7/12 at 101.00    BBB      1,092,920 
    Group, Series 2002B, 6.250%, 7/01/22               
1,400    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Clinic Medical    8/15 at 100.00    AAA      1,511,622 
    Center, Series 2005C, 5.000%, 8/15/21 - FGIC Insured               
715    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial Health    7/15 at 100.00    BBB      724,660 
    Care, Series 2005D, 5.000%, 7/01/33               
935    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Emerson Hospital, Series    8/15 at 100.00    AA      970,642 
    2005E, 5.000%, 8/15/35 - RAAI Insured               
    Housing/Multifamily - 11.7% (8.0% of Total Investments)               
2,500    Massachusetts Development Finance Authority, GNMA Collateralized Revenue Bonds, VOA Concord    10/11 at 105.00    AAA      2,827,400 
    Assisted Living Inc., Series 2000A, 6.900%, 10/20/41               
1,930    Massachusetts Development Financing Authority, Assisted Living Revenue Bonds, Prospect House    12/09 at 102.00    N/R      1,897,865 
    Apartments, Series 1999, 7.000%, 12/01/31               
1,500    Massachusetts Development Finance Authority, GNMA Collateralized Assisted Living Facility Revenue    3/12 at 105.00    AAA      1,680,795 
    Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax)               
400    Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 1999D, 5.500%,    7/10 at 101.00    AAA      422,544 
    7/01/13 (Alternative Minimum Tax) - AMBAC Insured               
500    Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S, 5.050%, 12/01/23    6/13 at 100.00    AA-      512,625 
    (Alternative Minimum Tax)               
1,000    Somerville Housing Authority, Massachusetts, GNMA Collateralized Mortgage Revenue Bonds, Clarendon    5/12 at 103.00    AAA      1,069,830 
    Hill Towers, Series 2002, 5.200%, 11/20/22               
    Industrials - 0.6% (0.4% of Total Investments)               
400    Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Waste Management    No Opt. Call    BBB      433,284 
    Inc., Series 2003, 5.450%, 6/01/14               
    Long-Term Care - 2.7% (1.9% of Total Investments)               
1,270    Boston, Massachusetts, FHA-Insured Mortgage Revenue Bonds, Deutsches Altenheim Inc., Series 1998A,    10/08 at 105.00    AAA      1,396,416 

    6.125%, 10/01/31               
540    Massachusetts Industrial Finance Agency, FHA-Insured Project Revenue Bonds, Heights Crossing LP,    2/06 at 102.00    AAA        555,703 
    Series 1995, 6.000%, 2/01/15 (Alternative Minimum Tax)               
    Tax Obligation/General - 23.8% (16.3% of Total Investments)               
500    Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%, 5/15/23 - AMBAC Insured    5/15 at 100.00    Aaa      555,570 
1,250    Boston, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 1/01/17    1/15 at 100.00    Aa1      1,379,800 
1,000    Fall River, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 2/01/21 - FSA Insured    2/13 at 101.00    AAA      1,086,830 
750    Lowell, Massachusetts, General Obligation Bonds, Series 2005, 5.000%, 12/15/18 - MBIA Insured    12/15 at 100.00    Aaa      831,743 
2,500    Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, Series    No Opt. Call    AAA      3,197,950 
    1991A, 7.000%, 3/01/21               
3,275    Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2001D, 6.000%, 11/01/13 - MBIA    No Opt. Call    AAA      3,843,147 
    Insured               
980    Monson, Massachusetts, General Obligation Bonds, Series 2002, 5.250%, 5/15/22 - AMBAC Insured    5/12 at 101.00    Aaa      1,075,981 
1,260    Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 - FGIC Insured    No Opt. Call    AAA      1,427,870 
    Springfield, Massachusetts, General Obligation Bonds, Series 2003:               
530    5.250%, 1/15/15 - MBIA Insured    1/13 at 100.00    AAA      591,247 
1,615    5.250%, 1/15/23 - MBIA Insured    1/13 at 100.00    AAA      1,792,747 
1,220    Worcester, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 7/01/19 - FGIC Insured    7/15 at 100.00    AAA      1,336,510 
    Tax Obligation/Limited - 14.7% (10.1% of Total Investments)               
210    Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2004, 5.000%, 5/01/26 - AMBAC    5/14 at 100.00    AAA      225,639 
    Insured               
940    Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2005A, 5.000%, 7/01/18 (WI,    7/15 at 100.00    AAA      1,032,195 
    settling 9/08/05)               
385    Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Bonds, Series 2004C,    No Opt. Call    AAA      447,189 
    5.250%, 7/01/21               
1,000    Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B, 5.375%,    No Opt. Call    AAA      1,173,630 
    5/01/23 - XLCA Insured               
550    Massachusetts College Building Authority, Project Revenue Bonds, Series 2004A, 5.000%, 5/01/19 -    5/14 at 100.00    AAA      597,262 
    MBIA Insured               
1,300    Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A, 5.000%,    8/15 at 100.00    AAA      1,422,083 
    8/15/20 - FSA Insured               
540    Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20 - FGIC    No Opt. Call    AAA      607,576 
    Insured               
3,000    Massachusetts, Special Obligation Refunding Notes, Federal Highway Grant Anticipation Note Program,    No Opt. Call    Aaa      3,295,830 
    Series 2003A, 5.000%, 12/15/13 - FSA Insured               
1,500    Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA, 5.500%,    No Opt. Call    AAA      1,778,535 
    7/01/19 - MBIA Insured               
    Transportation - 11.6% (7.9% of Total Investments)               
2,000    Massachusetts Port Authority, Revenue Bonds, Series 2003A, 5.000%, 7/01/33 - MBIA Insured    7/13 at 100.00    AAA      2,110,540 
1,900    Massachusetts Port Authority, Revenue Bonds, Series 2005A, 5.000%, 7/01/23 - AMBAC Insured    7/15 at 100.00    AAA      2,055,534 
4,000    Massachusetts Port Authority, Special Facilities Revenue Bonds, US Airways Group Inc., Series    9/06 at 102.00    AAA      4,134,240 
    1996A, 5.750%, 9/01/16 (Alternative Minimum Tax) - MBIA Insured               
    U.S. Guaranteed *** - 11.3% (7.7% of Total Investments)               
1,250    Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2004B, 5.000%, 8/01/24    8/14 at 100.00    AA***      1,376,913 
    (Pre-refunded to 8/01/14)               

  2,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Daughters of Charity    7/06 at 100.00    Aaa        2,036,540  
      National Health System - Carney Hospital, Series 1994D, 6.100%, 7/01/14 (Pre-refunded to 7/01/06)               
  410    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc., Series    7/21 at 100.00    AAA      460,553  
      1998A, 5.000%, 7/01/25 (Pre-refunded to 7/01/21) - MBIA Insured               
  845    Massachusetts Port Authority, Revenue Bonds, Series 1982, 13.000%, 7/01/13    1/06 at 100.00    AAA      1,199,216  
  1,500    Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/25    1/14 at 100.00    AAA      1,677,315  
      (Pre-refunded to 1/01/14) - FGIC Insured               
  1,200    University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series 2003-1,    11/13 at 100.00    AAA      1,351,440  
      5.250%, 11/01/18 (Pre-refunded to 11/01/13) - AMBAC Insured               
      Utilities - 3.0% (2.0% of Total Investments)               
  1,000    Massachusetts Development Finance Agency, Resource Recovery Revenue Bonds, SEMass System, Series    1/12 at 101.00    AAA      1,105,830  
      2001A, 5.625%, 1/01/16 - MBIA Insured               
  1,000    Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden Haverhill    12/08 at 102.00    BBB      1,029,830  
      Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)               
      Water and Sewer - 11.7% (8.0% of Total Investments)               
  2,000    Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Series 2004A,    11/14 at 100.00    AA      2,157,680  
      5.000%, 11/01/25               
  1,500    Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.000%, 8/01/28 -    8/17 at 100.00    AAA      1,626,945  
      MBIA Insured               
  1,250    Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 2002A,    8/12 at 100.00    AAA      1,368,050  
      5.250%, 8/01/20               
  1,500    Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 9, 5.000%,    8/13 at 100.00    AAA      1,625,550  
      8/01/22               
  1,500    Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 10, 5.000%,    8/14 at 100.00    AAA      1,610,938  
      8/01/26               
$   96,350    Total Long-Term Investments (cost $99,794,090) - 146.2%              105,082,055  
      Other Assets Less Liabilities - 1.1%              769,860  
      Preferred Shares, at Liquidation Value - (47.3)%              (34,000,000 ) 
      Net Assets Applicable to Common Shares - 100%            $   71,851,915  

(1 )    All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares 
    unless otherwise noted. 
*     Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There 
    may be other call provisions at varying prices at later dates. 
**     Ratings: Using the higher of Standard & Poor's or Moody's rating. 
***     Securities are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency 
    securities which ensures the timely payment of principal and interest. Such securities are normally considered 
    to be equivalent to AAA rated securities. 
N/R     Investment is not rated. 
(WI)     Security purchased on a when-issued basis. 

Income Tax Information

The following information is presented on an income tax basis. Differences between amounts for financial statement
and federal income tax purposes are primarily due to timing differences in recognizing income on taxable market
discount securities and timing differences in recognizing certain gains and losses on investment transactions.

At August 31, 2005, the cost of investments was $99,721,442.

Gross unrealized appreciation and gross unrealized depreciation of investments at August 31, 2005, were as follows:

Gross unrealized:       
   Appreciation    $   5,414,986  
   Depreciation      (54,373 ) 
 
Net unrealized appreciation of investments    $   5,360,613  

Item 2. Controls and Procedures.

  1. The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).
  2. There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.

Item 3. Exhibits.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT Attached hereto.


SIGNATURES

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.

(Registrant)         Nuveen Massachusetts Premium Income Municipal Fund        

By (Signature and Title)*          /s/ Jessica R. Droeger--Vice President and Secretary        

Date         10/28/05        

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.

By (Signature and Title)*         /s/ Gifford R. Zimmerman--Chief Administrative Officer (principal executive officer)        

Date         10/28/05        

By (Signature and Title)*         /s/ Stephen D. Foy--Vice President and Controller (principal financial officer)        

Date         10/28/05        

* Print the name and title of each signing officer under his or her signature.