We introduce natural atomic orbitals as the local projector to define the correlated subspace for DFT+DMFT (density functional theory plus dynamical mean-field theory) calculation. The natural atomic orbitals are found to be stably constructed against the number and the radius of basis orbitals. It can also be self-consistently updated inside the DFT+DMFT loop. The spatial localization, electron occupation and the degree of correlation are investigated and compared with other conventional techniques. As a "natural" choice to describe the electron numbers, adopting natural atomic orbitals has advantage in terms of electron number counting. We further explore the reduction of computation cost by separating correlated orbitals into two subgroups based on the orbital occupancy. Our new recipe can serve as a useful choice for DFT+DMFT and related methods.