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.