UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                                    FORM N-Q

       QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
                               INVESTMENT COMPANY

                  Investment Company Act file number 811-21905
                                                    -----------

                 First Trust/Aberdeen Emerging Opportunity Fund
        ---------------------------------------------------------------
               (Exact name of registrant as specified in charter)

                       120 East Liberty Drive, Suite 400
                               Wheaton, IL 60187
        ---------------------------------------------------------------
              (Address of principal executive offices) (Zip code)

                             W. Scott Jardine, Esq.
                          First Trust Portfolios L.P.
                       120 East Liberty Drive, Suite 400
                               Wheaton, IL 60187
        ---------------------------------------------------------------
                    (Name and address of agent for service)

       Registrant's telephone number, including area code: (630) 765-8000
                                                           ---------------

                      Date of fiscal year end: December 31
                                              -------------

                    Date of reporting period: March 31, 2012
                                             ----------------

Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 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, 100 F Street, NE, Washington, DC
20549. The OMB has reviewed this collection of information under the clearance
requirements of 44 U.S.C. ss. 3507.


ITEM 1. SCHEDULE OF INVESTMENTS. The Schedule(s) of Investments is attached
herewith.

FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a)
MARCH 31, 2012 (UNAUDITED)



    SHARES                                      DESCRIPTION                                      VALUE
---------------  --------------------------------------------------------------------------  -------------
COMMON STOCKS - 46.5%

                 BRAZIL - 8.5%
                                                                                       
        100,924  Banco Bradesco S.A., ADR .................................................  $   1,766,170
         28,000  Lojas Renner S.A. ........................................................        957,287
         33,000  Multiplan Empreendimentos Imobiliarios S.A. ..............................        757,638
         66,000  Petroleo Brasileiro S.A., ADR ............................................      1,686,960
         66,500  Souza Cruz S.A. ..........................................................      1,012,737
         84,000  Ultrapar Participacoes S.A. ..............................................      1,829,138
         92,100  Vale S.A., Preference Shares, ADR ........................................      2,089,749
                                                                                             -------------
                                                                                                10,099,679
                                                                                             -------------

                 CHILE - 0.9%
         12,600  Banco Santander Chile S.A., ADR ..........................................      1,084,734
                                                                                             -------------

                 CHINA - 3.3%
        216,500  China Mobile Ltd. ........................................................      2,382,310
      1,070,000  PetroChina Co., Ltd., Class H ............................................      1,512,914
                                                                                             -------------
                                                                                                 3,895,224
                                                                                             -------------

                 HONG KONG - 3.2%
        229,600  AIA Group Ltd. ...........................................................        841,167
        202,000  Hang Lung Group Ltd. .....................................................      1,307,121
        640,000  Swire Pacific Ltd., B Shares .............................................      1,409,303
         89,600  Swire Properties Ltd. ....................................................        222,686
                                                                                             -------------
                                                                                                 3,780,277
                                                                                             -------------

                 HUNGARY - 0.8%
          5,500  Richter Gedeon Nyrt ......................................................        943,339
                                                                                             -------------

                 INDIA - 4.4%
         32,000  Bharti Airtel Ltd. .......................................................        212,244
         20,000  GlaxoSmithKline Pharmaceuticals Ltd. .....................................        909,432
         13,000  Grasim Industries Ltd. ...................................................        670,363
         23,000  Hero Honda Motors Ltd. ...................................................        927,878
         42,000  Hindustan Unilever Ltd. ..................................................        338,053
         70,500  Housing Development Finance Corp., Ltd. ..................................        931,743
         20,000  ICICI Bank Ltd. ..........................................................        349,475
         13,000  Infosys Technologies Ltd. ................................................        731,414
          7,428  UltraTech Cement Ltd. ....................................................        220,828
                                                                                             -------------
                                                                                                 5,291,430
                                                                                             -------------

                 INDONESIA - 1.3%
        195,500  PT Astra International Tbk ...............................................      1,581,061
                                                                                             -------------

                 ITALY - 1.0%
         30,600  Tenaris S.A., ADR ........................................................      1,169,838
                                                                                             -------------

                 KAZAKHSTAN - 0.0%
            376  BTA Bank JSC .............................................................              2
                                                                                             -------------

                 MALAYSIA - 1.4%
        220,000  CIMB Group Holdings Berhad ...............................................        552,244
        249,000  Public Bank Berhad .......................................................      1,115,156
                                                                                             -------------
                                                                                                 1,667,400
                                                                                             -------------

                See Notes to Quarterly Portfolio of Investments



FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
MARCH 31, 2012 (UNAUDITED)


    SHARES                                      DESCRIPTION                                      VALUE
---------------  --------------------------------------------------------------------------  -------------
COMMON STOCKS - (CONTINUED)

                 MEXICO - 4.0%
         21,900  Fomento Economico Mexicano, S.A.B. de C.V., ADR ..........................  $   1,801,713
         40,000  Grupo Aeroportuario del Centro Norte, S.A.B. de C.V., ADR ................        637,600
        380,000  Grupo Financiero Banorte, S.A.B. de C.V., O Shares .......................      1,689,146
        276,000  Kimberly-Clark de Mexico, S.A.B. de C.V., A Shares .......................        616,987
                                                                                             -------------
                                                                                                 4,745,446
                                                                                             -------------

                 PHILIPPINES - 1.6%
      1,550,000  Ayala Land, Inc. .........................................................        749,097
        664,672  Bank of the Philippine Islands ...........................................      1,145,586
                                                                                             -------------
                                                                                                 1,894,683
                                                                                             -------------

                 POLAND - 0.8%
         18,000  Bank Pekao S.A. ..........................................................        897,496
                                                                                             -------------

                 RUSSIA - 1.3%
         25,500  LUKOIL, ADR ..............................................................      1,550,400
                                                                                             -------------

                 SOUTH AFRICA - 2.5%
         43,610  Massmart Holdings Ltd. ...................................................        920,637
         18,978  SABMiller PLC ............................................................        760,159
        119,729  Truworths International Ltd. .............................................      1,260,502
                                                                                             -------------
                                                                                                 2,941,298
                                                                                             -------------

                 SOUTH KOREA - 3.1%
         27,008  BS Financial Group, Inc. .................................................        317,026
          1,256  E-Mart Co., Ltd. .........................................................        277,128
          4,300  Samsung Electronics Co., Ltd., Preference Shares .........................      3,017,078
            443  Shinsegae Co., Ltd. ......................................................         93,444
                                                                                             -------------
                                                                                                 3,704,676
                                                                                             -------------

                 TAIWAN - 2.1%
        210,005  Taiwan Mobile Co., Ltd. ..................................................        639,667
        643,954  Taiwan Semiconductor Manufacturing Co., Ltd. .............................      1,852,367
                                                                                             -------------
                                                                                                 2,492,034
                                                                                             -------------

                 THAILAND - 2.8%
        250,000  PTT Exploration and Production Public Co., Ltd. ..........................      1,414,100
         89,200  Siam Cement Public (The) Co., Ltd. .......................................      1,202,827
        160,600  Siam Commercial Bank Public Co., Ltd. ....................................        747,037
                                                                                             -------------
                                                                                                 3,363,964
                                                                                             -------------

                 TURKEY - 2.4%
         87,635  Akbank TAS ...............................................................        344,186
        253,000  Aksigorta AS .............................................................        269,708
         27,220  Bim Birlesik Magazalar A.S. ..............................................      1,030,887
        181,150  Haci Omer Sabanci Holding AS .............................................        778,549
        124,000  Turkiye Garanti Bankasi AS ...............................................        491,185
                                                                                             -------------
                                                                                                 2,914,515
                                                                                             -------------

                 UNITED KINGDOM - 1.1%
         51,408  Standard Chartered PLC ...................................................      1,282,733
                                                                                             -------------

                See Notes to Quarterly Portfolio of Investments



FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
MARCH 31, 2012 (UNAUDITED)

                                                DESCRIPTION                                      VALUE
                 --------------------------------------------------------------------------  -------------
                 TOTAL COMMON STOCKS.......................................................  $  55,300,229
                 (Cost $36,840,724)                                                          -------------

   PRINCIPAL
     VALUE
    (LOCAL                                                      STATED          STATED           VALUE
   CURRENCY)                    DESCRIPTION                     COUPON         MATURITY      (US DOLLARS)
---------------  -----------------------------------------  --------------  ---------------  -------------
FOREIGN SOVEREIGN BONDS AND NOTES (d) - 44.7%

                 ARGENTINA - 1.3%
        470,000  Republic of Argentina (USD) ...........            7.00%      09/12/13            475,262
      1,250,000  Republic of Argentina (USD) ...........            7.00%      04/17/17          1,070,700
                                                                                             -------------
                                                                                                 1,545,962
                                                                                             -------------

                 BRAZIL - 4.7%
        738,000  Brazil Notas do Tesouro Nacional Series F
                     (BRL) .............................           10.00%      01/01/15            401,894
      4,070,000  Brazil Notas do Tesouro Nacional Series F
                     (BRL) .............................           10.00%      01/01/17          2,169,745
      4,910,000  Brazil Notas do Tesouro Nacional Series F
                     (BRL) .............................           10.00%      01/01/21          2,523,777
        400,000  Republic of Brazil (USD) ..............            5.63%      01/07/41            463,000
                                                                                             -------------
                                                                                                 5,558,416
                                                                                             -------------

                 CROATIA - 0.5%
        600,000  Croatia Government International Bond
                     (USD) .............................            6.63%      07/14/20            597,000
                                                                                             -------------

                 DOMINICAN REPUBLIC - 0.8%
        450,000  Dominican Republic (USD) ..............            7.50%      05/06/21            466,875
        528,000  Dominican Republic (USD) ..............            8.63%      04/20/27            554,400
                                                                                             -------------
                                                                                                 1,021,275
                                                                                             -------------

                 EGYPT - 0.5%
        250,000  Arab Republic of Egypt (USD) ..........            6.88%      04/30/40            220,000
        400,000  Arab Republic of Egypt (USD) ..........            6.88%      04/30/40            352,000
                                                                                             -------------
                                                                                                   572,000
                                                                                             -------------

                 EL SALVADOR - 0.6%
        400,000  Republic of El Salvador (USD) .........            7.65%      06/15/35            409,600
        270,000  Republic of El Salvador (USD) .........            7.63%      02/01/41            271,080
                                                                                             -------------
                                                                                                   680,680
                                                                                             -------------

                 HUNGARY - 4.7%
    227,370,000  Hungary Government Bond (HUF) .........            6.00%      10/24/12          1,020,478
    663,000,000  Hungary Government Bond (HUF) .........            6.75%      11/24/17          2,735,813
     85,000,000  Hungary Government Bond (HUF) .........            6.50%      06/24/19            337,379
    195,000,000  Hungary Government Bond (HUF) .........            7.00%      06/24/22            770,231
        550,000  Republic of Hungary (EUR) .............            4.50%      01/29/14            701,410
                                                                                             -------------
                                                                                                 5,565,311
                                                                                             -------------

                 INDONESIA - 1.5%
  4,000,000,000  Indonesian Government Bond (IDR) ......           10.00%      07/15/17            532,316


                See Notes to Quarterly Portfolio of Investments



FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
MARCH 31, 2012 (UNAUDITED)

   PRINCIPAL
     VALUE
    (LOCAL                                                      STATED          STATED           VALUE
   CURRENCY)                    DESCRIPTION                     COUPON         MATURITY      (US DOLLARS)
---------------  -----------------------------------------  --------------  ---------------  -------------
FOREIGN SOVEREIGN BONDS AND NOTES (d) - (CONTINUED)

                 INDONESIA - (CONTINUED)
  8,000,000,000  Indonesian Government Bond (IDR) ......           10.50%      08/15/30      $   1,206,756
                                                                                             -------------
                                                                                                 1,739,072
                                                                                             -------------

                 IVORY COAST - 1.3%
      2,480,000  Ivory Coast Government Bond (USD) .....            2.50%      12/31/32          1,581,000
                                                                                             -------------

                 LITHUANIA - 1.4%
      1,140,000  Republic of Lithuania (USD) ...........            7.38%      02/11/20          1,339,500
        300,000  Republic of Lithuania (USD) ...........            6.63%      02/01/22            333,375
                                                                                             -------------
                                                                                                 1,672,875
                                                                                             -------------

                 MALAYSIA - 1.8%
      2,500,000  Malaysia Government Bond (MYR) ........            3.21%      05/31/13            817,522
      3,900,000  Malaysia Government Bond (MYR) ........            4.01%      09/15/17          1,308,552
                                                                                             -------------
                                                                                                 2,126,074
                                                                                             -------------

                 MEXICO - 4.4%
     16,500,000  Mexican Bonos Desarr Fixed Rate Bond
                     (MXN) .............................            9.50%      12/18/14          1,440,328
     28,100,000  Mexican Bonos Desarr Fixed Rate Bond
                     (MXN) .............................            8.00%      06/11/20          2,487,937
     12,800,000  Mexican Bonos Desarr Fixed Rate Bond
                     (MXN) .............................            7.50%      06/03/27          1,061,150
      1,840,000  Mexican Bonos Desarr Fixed Rate Bond
                     (MXN) .............................           10.00%      11/20/36            184,737
        100,000  United Mexican States (USD) ...........            6.05%      01/11/40            121,000
                                                                                             -------------
                                                                                                 5,295,152
                                                                                             -------------

                 PAKISTAN - 0.6%
        900,000  Islamic Republic of Pakistan (USD) ....            6.88%      06/01/17            688,500
                                                                                             -------------

                 PERU - 1.1%
      2,900,000  Peruvian Government Bond (PEN) ........            7.84%      08/12/20          1,262,874
                                                                                             -------------

                 QATAR - 0.9%
        990,000  State of Qatar (USD) ..................            5.25%      01/20/20          1,096,425
                                                                                             -------------

                 RUSSIA - 3.4%
     50,000,000  Russian Foreign Bond (RUB) ............            7.85%      03/10/18          1,786,795
     65,000,000  Russian Foreign Bond (RUB) ............            7.85%      03/10/18          2,322,834
                                                                                             -------------
                                                                                                 4,109,629
                                                                                             -------------

                 SENEGAL - 0.4%
        450,000  Republic of Senegal (USD) .............            8.75%      05/13/21            490,500
                                                                                             -------------

                 SERBIA - 1.5%
      1,100,000  Republic of Serbia (USD) ..............            7.25%      09/28/21          1,168,508
     61,000,000  Serbia Treasury Bill (RSD) ............              (b)      12/13/12            676,236
                                                                                             -------------
                                                                                                 1,844,744
                                                                                             -------------

                See Notes to Quarterly Portfolio of Investments



FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
MARCH 31, 2012 (UNAUDITED)

   PRINCIPAL
     VALUE
    (LOCAL                                                      STATED          STATED           VALUE
   CURRENCY)                    DESCRIPTION                     COUPON         MATURITY      (US DOLLARS)
---------------  -----------------------------------------  --------------  ---------------  -------------
FOREIGN SOVEREIGN BONDS AND NOTES (d) - (CONTINUED)

                 SOUTH AFRICA - 4.0%
        520,000  Eskom Holdings Ltd. (USD) .............            5.75%      01/26/21      $     548,600
     11,350,000  Republic of South Africa (ZAR) ........            8.25%      09/15/17          1,542,772
     17,470,000  Republic of South Africa (ZAR) ........           10.50%      12/21/26          2,688,749
                                                                                             -------------
                                                                                                 4,780,121
                                                                                             -------------

                 TURKEY - 3.1%
      1,000,000  Republic of Turkey (USD) ..............            6.25%      09/26/22          1,080,000
      1,470,000  Turkey Government Bond (TRY) ..........           16.00%      08/28/13            901,894
      1,300,000  Turkey Government Bond (TRY) ..........            9.00%      01/27/16            725,748
      1,700,000  Turkey Government Bond (TRY) ..........           10.50%      01/15/20          1,014,868
                                                                                             -------------
                                                                                                 3,722,510
                                                                                             -------------

                 UKRAINE - 0.1%
         80,000  Ukraine Government Bond (USD) .........            6.58%      11/21/16             69,600
                                                                                             -------------

                 UNITED ARAB EMIRATES - 0.9%
      1,000,000  Dubai Government International Bond (USD)          7.75%      10/05/20          1,105,000
                                                                                             -------------

                 URUGUAY - 1.3%
     13,200,000  Republica Orient Uruguay, Inflation
                     Adjusted Bond (UYU) (c) ...........            5.00%      09/14/18          1,164,390
      4,600,000  Republica Orient Uruguay, Inflation
                     Adjusted Bond (UYU) (c) ...........            4.25%      04/05/27            380,840
                                                                                             -------------
                                                                                                 1,545,230
                                                                                             -------------

                 VENEZUELA - 3.4%
        300,000  Republic of Venezuela (USD) ...........            8.50%      10/08/14            302,250
      2,150,000  Republic of Venezuela (USD) ...........            5.75%      02/26/16          1,918,875
        600,000  Republic of Venezuela (USD) ...........            7.75%      10/13/19            507,000
        300,000  Republic of Venezuela (USD) ...........           12.75%      08/23/22            316,500
        350,000  Republic of Venezuela (USD) ...........            7.65%      04/21/25            266,000
        700,000  Republic of Venezuela (USD) ...........           11.95%      08/05/31            693,000
                                                                                             -------------
                                                                                                 4,003,625
                                                                                             -------------

                 VIETNAM - 0.5%
        500,000  Socialist Republic of Vietnam (USD) ...            6.88%      01/15/16            548,750
                                                                                             -------------
                 TOTAL FOREIGN SOVEREIGN BONDS AND NOTES ............................           53,222,325
                 (Cost $51,430,909)                                                          -------------

FOREIGN CORPORATE BONDS AND NOTES (d) - 12.7%

                 BRAZIL - 1.6%
         200,000 Banco do Estado do Rio Grande do Sul
                     (USD) .............................            7.38%      02/02/22            211,664
         200,000 Centrais Eletricas Brasileiras S.A. (USD)          5.75%      10/27/21            219,642
         350,000 Odebrecht Finance Ltd. (USD) ..........            7.50%      09/14/15            359,555

                See Notes to Quarterly Portfolio of Investments



FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
MARCH 31, 2012 (UNAUDITED)

   PRINCIPAL
     VALUE
    (LOCAL                                                      STATED          STATED           VALUE
   CURRENCY)                    DESCRIPTION                     COUPON         MATURITY      (US DOLLARS)
---------------  -----------------------------------------  --------------  ---------------  -------------
FOREIGN CORPORATE BONDS AND NOTES (d) - (CONTINUED)

                 BRAZIL - (CONTINUED)
        550,000  OGX Petroleo e Gas Participacoes S.A.
                     (USD) .............................            8.50%      06/01/18      $     574,200
        300,000  OSX 3 Leasing B.V. (USD) ..............            9.25%      03/20/15            311,250
        230,000  Rearden G Holdings Eins GmbH (USD) ....            7.88%      03/30/20            244,329
                                                                                             -------------
                                                                                                 1,920,640
                                                                                             -------------

                 CHINA - 0.8%
        400,000  China Overseas Finance Cayman II Ltd.
                     (USD) .............................            5.50%      11/10/20            398,579
        500,000  MCC Holding (Hong Kong) Corp. Ltd. (USD)           4.88%      07/29/16            499,801
                                                                                             -------------
                                                                                                   898,380
                                                                                             -------------

                 DOMINICAN REPUBLIC - 0.3%
        350,000  AES Andres Dominicana/Itabo Dominicana
                     (USD) .............................            9.50%      11/12/20            371,000
                                                                                             -------------

                 EL SALVADOR - 0.4%
        450,000  Telemovil Finance Co., Ltd. (USD) .....            8.00%      10/01/17            470,250
                                                                                             -------------

                 GUATEMALA - 0.4%
        400,000  Industrial Subordinated Trust (USD) ...            8.25%      07/27/21            420,000
                                                                                             -------------

                 INDONESIA - 0.5%
        410,000  Majapahit Holding B.V. (USD) ..........            7.75%      10/17/16            476,113
        150,000  PT Adaro Indonesia (USD) ..............            7.63%      10/22/19            164,250
                                                                                             -------------
                                                                                                   640,363
                                                                                             -------------

                 KAZAKHSTAN - 0.0%
             10  BTA Bank JSC (USD) (e).................           10.75%      07/01/18                  2
                                                                                             -------------

                 MEXICO - 2.8%
        540,000  Axtel S.A.B. de C.V. (USD) ............            9.00%      09/22/19            445,500
        400,000  Corporacion GEO S.A. de C.V. (USD) ....            8.88%      03/27/22            410,000
        684,000  Desarrolladora Homex S.A. (USD) .......            9.50%      12/11/19            731,880
        200,000  Desarrolladora Homex S.A. (USD) .......            9.75%      03/25/20            212,302
        642,688  GEO Maquinaria S.A. de C.V. (USD) .....            9.63%      05/02/21            620,193
        100,000  Petroleos Mexicanos (USD) .............            6.50%      06/02/41            113,000
        457,000  Servicios Corporativos Javer Sapi de C.V.
                     (USD) .............................            9.88%      04/06/21            441,005
        125,000  Urbi Desarrollos Urbanos Sab de C.V.
                     (USD) .............................            9.50%      01/21/20            133,125
        200,000  Urbi Desarrollos Urbanos Sab de C.V.
                     (USD) .............................            9.75%      02/03/22            212,500
                                                                                             -------------
                                                                                                 3,319,505
                                                                                             -------------

                 MULTINATIONAL - 0.6%
         700,000 African Export-Import Bank (USD) ......            5.75%      07/27/16            724,360
                                                                                             -------------

                See Notes to Quarterly Portfolio of Investments



FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
MARCH 31, 2012 (UNAUDITED)

   PRINCIPAL
     VALUE
    (LOCAL                                                      STATED          STATED           VALUE
   CURRENCY)                    DESCRIPTION                     COUPON         MATURITY      (US DOLLARS)
---------------  -----------------------------------------  --------------  ---------------  -------------
FOREIGN CORPORATE BONDS AND NOTES (d) - (CONTINUED)

                 NIGERIA - 0.3%
        350,000  GTB Finance B.V. (USD) ................            7.50%      05/19/16      $     364,175
                                                                                             -------------

                 PHILIPPINES - 0.2%
        250,000  Alliance Global Group, Inc. (USD) .....            6.50%      08/18/17            266,785
                                                                                             -------------

                 RUSSIA - 2.2%
        450,000  Alfa Bank (USD) .......................            7.88%      09/25/17            466,425
        200,000  Alfa Bank OJSC Via Alfa Bond Issuance PLC
                     (USD) .............................            7.75%      04/28/21            197,500
        350,000  Home Credit & Finance Bank via Eurasia
                     Capital S.A. (USD) ................            7.00%      03/18/14            360,406
        300,000  LUKOIL International Finance B.V. (USD)            7.25%      11/05/19            341,250
        400,000  Metalloinvest Finance Ltd. (USD) ......            6.50%      07/21/16            395,828
        300,000  Sberbank of Russia via SB Capital S.A.
                     (USD) .............................            6.13%      02/07/22            309,375
        200,000  Vimpelcom Holdings B.V. (USD) .........            7.50%      03/01/22            195,000
        200,000  Vimpelcom Ltd. (USD) ..................            6.49%      02/02/16            207,750
        150,000  VTB Bank OJSC Via VTB Capital S.A. (USD)           6.55%      10/13/20            150,375
                                                                                             -------------
                                                                                                 2,623,909
                                                                                             -------------

                 TURKEY - 0.4%
        500,000  Yasar Holdings (USD) ..................            9.63%      10/07/15            506,475
                                                                                             -------------

                 UKRAINE - 0.4%
        200,000  Metinvest B.V. (USD) ..................            8.75%      02/14/18            182,000
        250,000  MHP S.A. (USD) ........................           10.25%      04/29/15            242,500
                                                                                             -------------
                                                                                                   424,500
                                                                                             -------------

                 UNITED ARAB EMIRATES - 1.2%
        750,000  Dubai Electricity & Water Authority (USD)          7.38%      10/21/20            808,125
        600,000  IPIC GMTN Ltd. (USD) ..................            5.50%      03/01/22            620,250
                                                                                             -------------
                                                                                                 1,428,375
                                                                                             -------------

                 VENEZUELA - 0.6%
        750,000  Petroleos de Venezuela S.A. (USD) .....            8.50%      11/02/17            668,625
                                                                                             -------------
                 TOTAL FOREIGN CORPORATE BONDS AND NOTES ..................................     15,047,344
                 (Cost $14,504,559)                                                          -------------

                 TOTAL INVESTMENTS - 103.9% ...............................................    123,569,898
                 (Cost $102,776,192) (f)

                 OUTSTANDING LOAN - (4.9%).................................................     (5,800,000)

                See Notes to Quarterly Portfolio of Investments



FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
MARCH 31, 2012 (UNAUDITED)

                                                DESCRIPTION                                      VALUE
                 --------------------------------------------------------------------------  -------------
                 NET OTHER ASSETS AND LIABILITIES - 1.0% ..................................  $   1,155,883
                                                                                             -------------
                 NET ASSETS - 100.0% ......................................................  $ 118,925,781
                                                                                             =============


---------------------------------------

      (a)   All of these securities are available to serve as collateral for the
            outstanding loan.

      (b)   Zero coupon bond.

      (c)   Security whose principal value is adjusted in accordance with
            changes to the country's Consumer Price Index. Interest is
            calculated on the basis of the current adjusted principal value.

      (d)   Portfolio securities are included in a country based upon their
            underlying credit exposure as determined by Aberdeen Asset
            Management Inc., the Fund's investment sub-advisor.

      (e)   Security is a "step-up" bond where the coupon increases or steps up
            at a predetermined date. The interest rate shown reflects the rate
            in effect at March 31, 2012.

      (f)   Aggregate cost for financial reporting purposes, which approximates
            the aggregate cost for federal income tax purposes. As of March 31,
            2012, the aggregate gross unrealized appreciation for all securities
            in which there was an excess of value over tax cost was $23,247,474
            and the aggregate gross unrealized depreciation for all securities
            in which there was an excess of tax cost over value was $2,453,768.

      ADR   American Depositary Receipt

Currency Abbreviations
      BRL   Brazilian Real
      EUR   Euro Dollar
      HUF   Hungarian Forint
      IDR   Indonesian Rupiah
      MXN   Mexican Peso
      MYR   Malaysian Ringgit
      PEN   Peruvian New Sol
      RSD   Serbian Dinar
      RUB   Russian Ruble
      TRY   Turkish Lira
      USD   United States Dollar
      UYU   Uruguayan Peso
      ZAR   South African Rand


                See Notes to Quarterly Portfolio of Investments



FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
MARCH 31, 2012 (UNAUDITED)


VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of March 31,
2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly
Portfolio of Investments):


                                                 ASSETS TABLE

                                                                                    LEVEL 2          LEVEL 3
                                                     TOTAL          LEVEL 1       SIGNIFICANT      SIGNIFICANT
                                                   VALUE AT         QUOTED        OBSERVABLE      UNOBSERVABLE
                                                   3/31/2012        PRICES          INPUTS           INPUTS
                                                ---------------  -------------  ---------------  --------------
                                                                                     
Common Stocks:
      Kazakhstan..............................  $             2  $          --  $             2  $           --
      Other Country Categories*...............       55,300,227     55,300,227               --              --
                                                ---------------  -------------  ---------------  --------------
      Total Common Stocks.....................       55,300,229     55,300,227                2              --
Foreign Sovereign Bonds and Notes*............       53,222,325             --       53,222,325              --
Foreign Corporate Bonds and Notes*............       15,047,344             --       15,047,344              --
                                                ---------------  -------------  ---------------  --------------
Total Investments.............................      123,569,898     55,300,227       68,269,671              --
Forward Foreign Currency Contracts**..........          225,436             --          225,436              --
                                                ---------------  -------------  ---------------  --------------
Total.........................................  $   123,795,334  $  55,300,227  $    68,495,107  $           --
                                                ===============  =============  ===============  ==============


                                              LIABILITIES TABLE

                                                                                    LEVEL 2          LEVEL 3
                                                     TOTAL          LEVEL 1       SIGNIFICANT      SIGNIFICANT
                                                   VALUE AT         QUOTED        OBSERVABLE      UNOBSERVABLE
                                                   3/31/2012        PRICES          INPUTS           INPUTS
                                                ---------------  -------------  ---------------  --------------
Forward Foreign Currency Contracts**..........  $      (302,049) $          --  $      (302,049) $           --
                                                ===============  =============  ===============  ==============


*  See the Portfolio of Investments for country breakout. Country categories are
   only shown separately if they include holdings in two or more levels or have
   holdings in only Level 3.

** See the Schedule of Forward Foreign Currency Contracts for contract and
   currency detail.

All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. As of March
31, 2012, the Fund transferred common stock valued at $2 from Level 1 to Level 2
of the fair value hierarchy. The common stock that transferred from Level 1 to
Level 2 did so as a result of a lack of trading volume on the primary exchange
on March 30, 2012, the last business day of the month.



                See Notes to Quarterly Portfolio of Investments



FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
MARCH 31, 2012 (UNAUDITED)

CURRENCY EXPOSURE                     % OF TOTAL
DIVERSIFICATION                      INVESTMENTS #
--------------------------------------------------
USD                                      43.6%
HKD                                       6.2
BRL                                       6.0
MXN                                       5.9
ZAR                                       5.9
INR                                       4.3
TRY                                       4.0
RUB                                       3.3
MYR                                       3.1
KRW                                       3.0
THB                                       2.7
IDR                                       2.1
TWD                                       2.0
HUF                                       1.7
PHP                                       1.5
UYU                                       1.3
GBP                                       1.0
PEN                                       1.0
PLN                                       0.7
RSD                                       0.6
EUR                                       0.1
KZT                                       0.0 ##
--------------------------------------------------
                              Total     100.0%
                                     =============

#   The weightings include the impact of
    currency forwards.
##  Amount is less than 0.1%.




                                                   % OF TOTAL
INDUSTRY CLASSIFICATION                           INVESTMENTS
---------------------------------------------------------------
Government Bonds and Notes                            43.1%
Commercial Banks                                      11.5
Oil, Gas & Consumable Fuels                            8.0
Semiconductors & Semiconductor Equipment               3.9
Real Estate Management & Development                   3.9
Wireless Telecommunication Services                    2.9
Metals & Mining                                        2.6
Beverages                                              2.1
Automobiles                                            2.0
Food & Staples Retailing                               1.8
Diversified Financial Services                         1.8
Household Durables                                     1.7
Electric Utilities                                     1.5
Pharmaceuticals                                        1.5
Construction Materials                                 1.4
Specialty Retail                                       1.0
Energy Equipment & Services                            0.9
Insurance                                              0.9
Multiline Retail                                       0.9
Tobacco                                                0.8
Household Products                                     0.8
Thrifts & Mortgage Finance                             0.8
Diversified Telecommunication Services                 0.7
IT Services                                            0.6
Special Purpose Banks                                  0.6
Chemicals                                              0.5
Transportation Infrastructure                          0.5
Capital Markets                                        0.5
Construction & Engineering                             0.3
Machinery                                              0.3
Food Products                                          0.2
---------------------------------------------------------------
                                          Total      100.0%
                                                 ==============



                See Notes to Quarterly Portfolio of Investments




FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
SCHEDULE OF FORWARD FOREIGN CURRENCY CONTRACTS
MARCH 31, 2012 (UNAUDITED)



                                      FORWARD FOREIGN CURRENCY CONTRACTS
                            ------------------------------------------------------
                                                                         PURCHASE           SALE         UNREALIZED
 SETTLEMENT                        AMOUNT               AMOUNT          VALUE AS OF      VALUE AS OF    APPRECIATION/
    DATE     COUNTERPARTY      PURCHASED (a)           SOLD (a)       MARCH 31, 2012   MARCH 31, 2012   (DEPRECIATION)
----------  --------------  --------------------  ------------------  ---------------  ---------------  --------------
                                                                                       
  04/20/12  BAR              ZAR      2,528,000   USD        310,177   $      328,544   $      310,177   $      18,367
  04/20/12  CSFB             ZAR      5,218,000   USD        643,467          678,142          643,467          34,675
  04/20/12  SSB              ZAR      5,735,000   USD        746,016          745,332          746,016            (684)
  06/04/12  JPM              USD      2,196,505   BRL      3,834,000        2,196,505        2,071,010         125,495
  04/20/12  BAR              USD        625,749   EUR        490,000          625,749          653,574         (27,825)
  04/20/12  CIT              USD      1,162,937   HUF    285,187,000        1,162,937        1,287,898        (124,961)
  04/20/12  RBS              USD      2,493,090   HUF    541,675,000        2,493,090        2,446,191          46,899
  06/04/12  UBS              USD        722,239   IDR  6,734,876,000          722,239          731,488          (9,249)
  04/20/12  CSFB             USD        183,438   MXN      2,491,000          183,438          194,308         (10,870)
  04/20/12  GSI              USD        576,511   TRY      1,087,000          576,511          606,937         (30,426)
  04/20/12  DBL              USD      1,653,985   ZAR     13,481,000        1,653,985        1,752,019         (98,034)
                                                                                                        --------------
Net Unrealized Appreciation (Depreciation)............................................................   $    (76,613)
                                                                                                        ==============


(a) Please see portfolio of investments for currency descriptions.

Counterparty Abbreviations:
           BAR   Barclays Bank
           CIT   Citibank, NA
          CSFB   Credit Suisse First Boston
           DBL   Deutsche Bank London
           GSI   Goldman Sachs International
           JPM   JPMorgan Chase
           RBS   Royal Bank of Scotland
           SSB   State Street Bank
           UBS   UBS



                See Notes to Quarterly Portfolio of Investments





NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS

                 FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
                           MARCH 31, 2012 (UNAUDITED)



                       VALUATION AND INVESTMENT PRACTICES

A. PORTFOLIO VALUATION:

The net asset value ("NAV") of the Common Shares of First Trust/Aberdeen
Emerging Opportunity Fund (the "Fund") is determined daily as of the close of
regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m.
Eastern time, on each day the NYSE is open for trading. If the NYSE closes early
on a valuation day, the NAV is determined as of that time. Domestic debt
securities and foreign securities are priced using data reflecting the earlier
closing of the principal markets for those securities. The NAV per Common Share
is calculated by dividing the value of all assets of the Fund (including accrued
interest and dividends), less all liabilities (including accrued expenses,
dividends declared but unpaid and any borrowings of the Fund), by the total
number of Common Shares outstanding.

The Fund's investments are valued daily in accordance with valuation procedures
adopted by the Fund's Board of Trustees and in accordance with provisions of the
Investment Company Act of 1940, as amended (the "1940 Act"). All securities of
the Fund initially expressed in foreign currencies will be converted to U.S.
dollars using exchange rates in effect at the time of valuation. The Fund's
securities will be valued as follows:

      Bond, notes and other debt securities are valued on the basis of
      valuations provided by dealers who make markets in such securities or by
      an independent pricing service approved by the Fund's Board of Trustees,
      which may use the following valuation inputs when available:

            1) benchmark yields;

            2) reported trades;

            3) broker/dealer quotes;

            4) issuer spreads;

            5) benchmark securities;

            6) bids and offers; and

            7) reference data including market research publications.

      Common stocks and other securities listed on any national or foreign
      exchange (excluding the NASDAQ National Market ("NASDAQ") and the London
      Stock Exchange Alternative Investment Market ("AIM")) are valued at the
      last sale price on the exchange on which they are principally traded. If
      there are no transactions on the valuation day, the securities are valued
      at the mean between the most recent bid and asked prices.

      Securities listed on the NASDAQ or the AIM are valued at the official
      closing price. If there is no official closing price on the valuation day,
      the securities are valued at the mean between the most recent bid and
      asked prices.

      Securities traded in the over-the-counter market are valued at their
      closing bid prices.

      Forward foreign currency contracts are valued at the current day's
      interpolated foreign exchange rate, as calculated using the current day's
      spot rate, and the thirty, sixty, ninety and one-hundred eighty day
      forward rates provided by an independent pricing service.

      Debt securities having a remaining maturity of sixty days or less when
      purchased are valued at cost adjusted for amortization of premiums and
      accretion of discounts.

In the event that market quotations are not readily available, the pricing
service does not provide a valuation for a particular asset, or the valuations
are deemed unreliable, the Fund's Board of Trustees has designated First Trust
Advisors L.P. ("First Trust") to use a fair value method to value the Fund's
securities and other investments. Additionally, if events occur after the close
of the principal market for particular securities (e.g., domestic debt and
foreign securities), but before the Fund values its assets, that could
materially affect NAV, First Trust may use a fair value method to value the
Fund's securities and other investments. The use of fair value pricing by the
Fund is governed by valuation procedures adopted by the Fund's Board of
Trustees, and in accordance with the provisions of the 1940 Act. As a general
principle, the fair value of a security is the amount which the Fund might
reasonably expect to receive for the security upon its current sale. However, in
light of the judgment involved in fair valuations, there can be no assurance
that a fair value assigned to a particular security will be the amount which the
Fund might be able to receive upon its current sale. Fair valuation of a debt
security will be based on the consideration of all available information,
including, but not limited to, the following:

             1) the fundamental business data relating to the issuer, or
                economic data relating to the country of issue;

             2) an evaluation of the forces which influence the market in
                which these securities are purchased and sold;

             3) the type, size and cost of security;

             4) the financial statements of the issuer, or the financial
                condition of the country of issue;

             5) the credit quality and cash flow of the issuer, or country of
                issue, based on the Sub-Advisor's or external analysis;

             6) the information as to any transactions in or offers for the
                security;





NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (CONTINUED)

                 FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
                           MARCH 31, 2012 (UNAUDITED)


             7) the price and extent of public trading in similar securities
                (or equity securities) of the issuer/borrower, or comparable
                companies;

             8) the coupon payments;

             9) the quality, value and salability of collateral, if any,
                securing the security;

            10) the business prospects of the issuer, including any ability to
                obtain money or resources from a parent or affiliate and an
                assessment of the issuer's management (for corporate debt
                only);

            11) the economic, political and social prospects/developments of
                the country of issue and the assessment of the country's
                governmental leaders/officials (for sovereign debt only);

            12) the prospects for the issuer's industry, and multiples (of
                earnings and/or cash flows) being paid for similar businesses
                in that industry (for corporate debt only); and

            13) other relevant factors.

Fair valuation of an equity security will be based on the consideration of all
available information, including, but not limited to, the following:

             1) the type of security;

             2) the size of the holding;

             3) the initial cost of the security;

             4) transactions in comparable securities;

             5) price quotes from dealers and/or pricing services;

             6) relationships among various securities;

             7) information obtained by contacting the issuer, analysts, or
                the appropriate stock exchange;

             8) an analysis of the issuer's financial statements; and

             9) the existence of merger proposals or tender offers that might
                affect the value of the security.

If the equity security in question is a foreign security, the following
additional information may be considered:

             1) the value of similar foreign securities traded on other
                foreign markets;

             2) ADR trading of similar securities;

             3) closed-end fund trading of similar securities;

             4) foreign currency exchange activity;

             5) the trading prices of financial products that are tied to
                baskets of foreign securities;

             6) factors relating to the event that precipitated the pricing
                problem;

             7) whether the event is likely to recur; and

             8) whether the effects of the event are isolated or whether they
                affect entire markets, countries or regions.

The Fund is subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:

      o     Level 1 - Level 1 inputs are quoted prices in active markets for
            identical investments. An active market is a market in which
            transactions for the investment occur with sufficient frequency and
            volume to provide pricing information on an ongoing basis.

      o     Level 2 - Level 2 inputs are observable inputs, either directly or
            indirectly, and include the following:

            o     Quoted prices for similar investments in active markets.

            o     Quoted prices for identical or similar investments in markets
                  that are non-active. A non-active market is a market where
                  there are few transactions for the investment, the prices are
                  not current, or price quotations vary substantially either
                  over time or among market makers, or in which little
                  information is released publicly.

            o     Inputs other than quoted prices that are observable for the
                  investment (for example, interest rates and yield curves
                  observable at commonly quoted intervals, volatilities,
                  prepayment speeds, loss severities, credit risks, and default
                  rates).

            o     Inputs that are derived principally from or corroborated by
                  observable market data by correlation or other means.

      o     Level 3 - Level 3 inputs are unobservable inputs. Unobservable
            inputs may reflect the reporting entity's own assumptions about the
            assumptions that market participants would use in pricing the
            investment.

The inputs or methodology used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value the Fund's investments as of March 31, 2012, is
included with the Fund's Portfolio of Investments.






NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (CONTINUED)

                 FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
                           MARCH 31, 2012 (UNAUDITED)


B. SECURITIES TRANSACTIONS:

Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.

Securities purchased on a when-issued, delayed-delivery or forward purchase
commitment basis may have extended settlement periods. The value of the security
so purchased is subject to market fluctuations during this period. The Fund
maintains liquid assets with a current value at least equal to the amount of its
when-issued, delayed-delivery or forward purchase commitments until payment is
made. At March 31, 2012, the Fund had no when-issued, delayed-delivery or
forward purchase commitments.

C. FORWARD FOREIGN CURRENCY CONTRACTS:

The Fund is subject to foreign currency risk in the normal course of pursuing
its investment objectives. Forward foreign currency contracts are agreements to
exchange one currency for another at a future date and at a specified price. The
Fund may use forward foreign currency contracts to facilitate transactions in
foreign securities and to manage the Fund's foreign currency exposure. These
contracts are valued daily, and the Fund's net equity therein, representing
unrealized gain or loss on the contracts as measured by the difference between
the forward foreign exchange rates at the dates of entry into the contracts and
the forward rates at the reporting date, is included on the Schedule of Forward
Foreign Currency Contracts. Risks arise from the possible inability of
counterparties to meet the terms of their contracts and from movement in
currency and securities values and interest rates. Due to the risks, the Fund
could incur losses in excess of the net unrealized value shown on the Schedule
of Forward Foreign Currency Contracts.

During the period ended March 31, 2012, the open and close notional values of
forward foreign currency contracts were $18,542,014 and $7,227,901,
respectively.

D. FOREIGN CURRENCY:

The books and records of the Fund are maintained in U.S. dollars. Foreign
currencies, investments and other assets and liabilities are translated into
U.S. dollars at the exchange rates prevailing at the end of the period.
Purchases and sales of investment securities and items of income and expense are
translated on the respective dates of such transactions. Net realized foreign
currency gains and losses include the effect of changes in exchange rates
between trade date and settlement date on investment security transactions,
foreign currency transactions and interest and dividends received.




ITEM 2. CONTROLS AND PROCEDURES.

   (a) 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 the report that includes the disclosure required by
       this paragraph, based on their evaluation of these controls and
       procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
       270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
       Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

   (b) 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.

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of
the Sarbanes-Oxley Act of 2002 are 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)     First Trust/Aberdeen Emerging Opportunity Fund
              -------------------------------------------------

By (Signature and Title)*  /s/ Mark R. Bradley
                          ------------------------------------------------------
                          Mark R. Bradley, President and Chief Executive Officer
                          (principal executive officer)

Date     May 21, 2012
        --------------

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/ Mark R. Bradley
                          ------------------------------------------------------
                          Mark R. Bradley, President and Chief Executive Officer
                          (principal executive officer)

Date     May 21, 2012
        --------------

By (Signature and Title)*  /s/ James M. Dykas
                          ------------------------------------------------------
                          James M. Dykas, Treasurer, Chief Financial Officer and
                          Chief Accounting Officer
                          (principal financial officer)

Date     May 21, 2012
        --------------

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