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         811-7616         

        Nuveen Missouri 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:            5/31          

Date of reporting period:          2/28/06         

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 Missouri Premium Income Municipal Fund (NOM)
February 28, 2006

        Optional         
Principal        Call         
Amount (000)    Description (1)    Provisions (2)    Ratings (3)    Value 
    Consumer Staples – 3.3% (2.3% of Total Investments)             
$          1,000    Missouri Development Finance Board, Solid Waste Disposal Revenue Bonds, Procter and Gamble    No Opt. Call    AA–    $    1,109,700 
     Inc., Series 1999, 5.200%, 3/15/29 (Alternative Minimum Tax)             
    Education and Civic Organizations – 6.2% (4.3% of Total Investments)             
625    Missouri Health and Educational Facilities Authority, Revenue Bonds, Maryville University of    6/10 at 100.00    Baa2    667,388 
     St. Louis, Series 2000, 6.750%, 6/15/30             
500    Missouri Health and Educational Facilities Authority, Revenue Bonds, St. Louis Priory School,    2/08 at 101.00    A3    518,245 
     Series 2000, 5.650%, 2/01/25             
365    Missouri Health and Educational Facilities Authority, Revenue Bonds, Webster University,    4/11 at 100.00    Aaa    394,430 
     Series 2001, 5.500%, 4/01/18 – MBIA Insured             
500    St. Louis County Industrial Development Authority, Missouri, Revenue Bonds, Kiel Center    6/06 at 100.00    N/R    507,450 
     Multipurpose Arena, Series 1992, 7.875%, 12/01/24 (Alternative Minimum Tax)             
1,990    Total Education and Civic Organizations            2,087,513 
    Health Care – 20.9% (14.5% of Total Investments)             
1,800    Johnson County, Missouri, Hospital Revenue Bonds, Western Missouri Medical Center, Series    6/10 at 100.00    AA    1,936,998 
     2000, 6.000%, 6/01/20 – RAAI Insured             
750    Joplin Industrial Development Authority, Missouri, Health Facilities Revenue Bonds, Freeman    2/15 at 102.00    BBB+    783,593 
     Health System, Series 2004, 5.500%, 2/15/29             
    Missouri Health and Educational Facilities Authority, Revenue Bonds, BJC Health System, Series             
    2003:             
1,500     5.125%, 5/15/25    5/13 at 100.00    AA    1,572,165 
1,155     5.250%, 5/15/32    5/13 at 100.00    AA    1,217,162 
425    Missouri Health and Educational Facilities Authority, Revenue Bonds, Lake Regional Health    8/06 at 102.00    BBB+    434,138 
     System, Series 1996, 6.500%, 2/15/21             
500    Missouri Health and Educational Facilities Authority, Revenue Bonds, Lake Regional Health    2/14 at 100.00    BBB+    530,775 
     System, Series 2003, 5.700%, 2/15/34             
500    Missouri Health and Educational Facilities Authority, Revenue Bonds, St. Luke’s Health System,    6/11 at 101.00    AAA    528,405 
     Series 2001, 5.250%, 12/01/26 – FSA Insured             
6,630    Total Health Care            7,003,236 
    Housing/Multifamily – 7.0% (4.8% of Total Investments)             
615    Missouri Housing Development Commission, Multifamily Housing Revenue Bonds, Series 2001II,    12/11 at 100.00    AA    644,864 
     5.250%, 12/01/16             
500    St. Charles County Industrial Development Authority, Missouri, FHA-Insured Multifamily Housing    4/08 at 102.00    AAA    511,265 
     Revenue Bonds, Ashwood Apartments, Series 1998A, 5.600%, 4/01/30 – FSA Insured (Alternative             
     Minimum Tax)             
545    St. Louis County Industrial Development Authority, Missouri, GNMA Collateralized Multifamily    4/07 at 102.00    AAA    566,342 
     Housing Revenue Refunding Bonds, South Summit Apartments, Series 1997A, 5.950%, 4/20/17             
600    St. Louis County Industrial Development Authority, Missouri, GNMA Collateralized Multifamily    4/07 at 102.00    AAA    623,142 
     Housing Revenue Refunding Bonds, South Summit Apartments, Series 1997B, 6.000%, 10/20/15             
     (Alternative Minimum Tax)             
2,260    Total Housing/Multifamily            2,345,613 
    Housing/Single Family – 1.0% (0.6% of Total Investments)             
95    Missouri Housing Development Commission, Single Family Mortgage Revenue Bonds, Homeownership    3/06 at 105.00    AAA    96,475 
     Loan Program, Series 1995C, 7.250%, 9/01/26 (Alternative Minimum Tax)             
115    Missouri Housing Development Commission, Single Family Mortgage Revenue Bonds, Homeownership    9/06 at 105.00    AAA    116,980 
     Loan Program, Series 1996B, 7.550%, 9/01/27 (Alternative Minimum Tax)             
135    Missouri Housing Development Commission, Single Family Mortgage Revenue Bonds, Homeownership    3/10 at 100.00    AAA    135,790 
     Loan Program, Series 2000B-1, 6.250%, 3/01/31 (Alternative Minimum Tax)             
345    Total Housing/Single Family            349,245 
    Long-Term Care – 5.6% (3.9% of Total Investments)             
1,750    Cole County Industrial Development Authority, Missouri, Revenue Bonds, Lutheran Senior    2/14 at 100.00    N/R    1,833,422 
     Services – Heisinger Project, Series 2004, 5.500%, 2/01/35             
50    Lees Summit Industrial Development Authority, Missouri, Health Facilities Revenue Bonds, John    8/09 at 101.00    N/R    52,950 
     Knox Village, Series 1999, 6.000%, 8/15/17             
1,800    Total Long-Term Care            1,886,372 
    Materials – 2.3% (1.6% of Total Investments)             
750    Sugar Creek, Missouri, Industrial Development Revenue Bonds, Lafarge North America Inc.,    6/13 at 101.00    BBB    779,760 
     Series 2003A, 5.650%, 6/01/37 (Alternative Minimum Tax)             
    Tax Obligation/General – 27.7% (19.2% of Total Investments)             
300    Branson Reorganized School District R-4, Taney County, Missouri, General Obligation Bonds,    3/15 at 100.00    AAA    319,350 
     Series 2005, 5.000%, 3/01/25 – FSA Insured             
500    Camdenton Reorganized School District R3, Camden County, Missouri, General Obligation Bonds,    No Opt. Call    AAA    547,480 
     Series 2005, 5.250%, 3/01/24 – FSA Insured             
500    Jackson County School District R-7, Lees Summit, Missouri, General Obligation Refunding and    3/12 at 100.00    AAA    539,955 
     Improvement Bonds, Series 2002, 5.250%, 3/01/18 – FSA Insured             
1,630    North Kansas City School District, Missouri, General Obligation Bonds, Series 2003A, 5.000%,    3/13 at 100.00    AA+    1,730,196 
     3/01/23             
1,000    Puerto Rico, General Obligation and Public Improvement Bonds, Series 2001A, 5.500%, 7/01/20 –    No Opt. Call    AAA    1,164,230 
     MBIA Insured             
2,020    Ritenour Consolidated School District, St. Louis County, Missouri, General Obligation Bonds,    No Opt. Call    AAA    2,367,440 
     Series 1995, 7.375%, 2/01/12 – FGIC Insured             
785    St. Charles County Francis Howell School District, Missouri, General Obligation Refunding    No Opt. Call    AAA    819,367 
     Bonds, Series 1994A, 7.800%, 3/01/08 – FGIC Insured             
1,405    St. Louis Board of Education, Missouri, General Obligation Refunding Bonds, Series 2003A,    4/13 at 100.00    AAA    1,498,559 
     5.000%, 4/01/19 – FSA Insured             
270    St. Louis County Pattonville School District R3, Missouri, General Obligation Bonds, Series    3/14 at 100.00    AAA    296,109 
     2004, 5.250%, 3/01/20 – FSA Insured             
8,410    Total Tax Obligation/General            9,282,686 
    Tax Obligation/Limited – 34.7% (24.0% of Total Investments)             
600    Chesterfield, Missouri, Certificates of Participation, Series 2005, 5.000%, 12/01/24 – FGIC    12/15 at 100.00    Aaa    638,316 
     Insured             
750    Fenton, Missouri, Tax Increment Refunding and Improvement Revenue Bonds, Gravois Bluffs    10/12 at 100.00    N/R    771,203 
     Redevelopment Project, Series 2002, 6.125%, 10/01/21             
360    Missouri Development Finance Board, Infrastructure Facilities Revenue Bonds, Branson Landing    6/15 at 100.00    BBB+    366,923 
     Project, Series 2005A, 5.000%, 6/01/35             
2,000    Missouri Development Finance Board, Kansas City, Infrastructure Facilities Revenue Bonds,    4/10 at 100.00    AAA    2,159,240 
     Midtown Redevelopment Project, Series 2000A, 5.750%, 4/01/22 – MBIA Insured             
450    Monarch-Chesterfield Levee District, St. Louis County, Missouri, Levee District Improvement    3/10 at 101.00    AAA    489,047 
     Bonds, Series 1999, 5.750%, 3/01/19 – MBIA Insured             
1,135    Puerto Rico Public Finance Corporation, Commonwealth Appropriation Bonds, Series 2002E,    No Opt. Call    Aa1    1,417,751 
     6.000%, 8/01/26 – AGC Insured             
600    Riverside, Missouri, L-385 Levee Redevelopment Plan Tax Increment Revenue Bonds, Series 2004,    5/15 at 100.00    BBB    618,234 
     5.250%, 5/01/20             
1,380    Springfield Center City Development Corporation, Missouri, Lease Revenue Bonds, Jordan Valley    11/11 at 100.00    Aaa    1,461,365 
     Park Parking Garage, Series 2002D, 5.000%, 11/01/22 – AMBAC Insured             
2,000    Springfield Public Building Corporation, Missouri, Lease Revenue Bonds, Jordan Valley Park    6/10 at 100.00    AAA    2,194,120 
     Projects, Series 2000A, 6.125%, 6/01/21 – AMBAC Insured             
400    St. Joseph Industrial Development Authority, Missouri, Tax Increment Bonds, Shoppes at North    11/14 at 100.00    N/R    403,120 
     Village Project, Series 2005A, 5.500%, 11/01/27             
1,000    St. Louis Municipal Finance Corporation, Missouri, Leasehold Revenue Bonds, Carnahan    2/12 at 100.00    Aaa    1,107,720 
     Courthouse, Series 2002A, 5.750%, 2/15/16 – FGIC Insured             
10,675    Total Tax Obligation/Limited            11,627,039 
    Transportation – 4.7% (3.3% of Total Investments)             
500    Kansas City, Missouri, Passenger Facility Charge Revenue Bonds, Kansas City International    4/11 at 101.00    AAA    517,655 
     Airport, Series 2001, 5.000%, 4/01/23 – AMBAC Insured (Alternative Minimum Tax)             
1,000    St. Louis Land Clearance Redevelopment Authority, Missouri, Revenue Refunding and Improvement    9/09 at 102.00    N/R    1,068,590 
     Bonds, LCRA Parking Facilities, Series 1999C, 7.000%, 9/01/19             
1,500    Total Transportation            1,586,245 
    U.S. Guaranteed – 27.1% (18.8% of Total Investments) (4)             
750    Howard Bend Levee District, St. Louis County, Missouri, Levee District Improvement Bonds,    3/09 at 101.00    N/R (4)    799,088 
     Series 1999, 5.850%, 3/01/19 (Pre-refunded 3/01/09)             
2,500    Missouri Health and Educational Facilities Authority, Revenue Bonds, SSM Healthcare System,    6/11 at 101.00    AAA    2,712,572 
     Series 2001A, 5.250%, 6/01/28 (Pre-refunded 6/01/11) – AMBAC Insured             
1,000    Missouri Health and Educational Facilities Authority, Revenue Bonds, St. Anthony’s Medical    12/10 at 101.00    A (4)    1,120,420 
     Center, Series 2000, 6.250%, 12/01/30 (Pre-refunded 12/01/10)             
1,800    Springfield Public Utilities Board, Missouri, Certificates of Participation, Series 2001,    12/09 at 100.00    AAA    1,895,382 
     5.000%, 12/01/17 (Pre-refunded 12/01/09) – AMBAC Insured             
750    St. Louis County Pattonville School District R3, Missouri, General Obligation Bonds, Series    3/10 at 101.00    AAA    819,068 
     2000, 5.750%, 3/01/17 (Pre-refunded 3/01/10) – FGIC Insured             
80    St. Louis County Pattonville School District R3, Missouri, General Obligation Bonds, Series    3/14 at 100.00    AAA    88,340 
     2004, 5.250%, 3/01/20 (Pre-refunded 3/01/14) – FSA Insured             
500    St. Louis County, Missouri, GNMA Collateralized Mortgage Revenue Bonds, Series 1993D, 5.650%,    No Opt. Call    AAA    576,255 
     7/01/20 (Alternative Minimum Tax) (ETM)             
950    Texas County, Missouri, Hospital Revenue Bonds, Texas County Memorial Hospital, Series 2000,    6/10 at 100.00    N/R (4)    1,080,635 
     7.250%, 6/15/25 (Pre-refunded 6/15/10)             
8,330    Total U.S. Guaranteed            9,091,760 
    Water and Sewer – 3.3% (2.3% of Total Investments)             
640    Metropolitan St. Louis Sewerage District, Missouri, Revenue Bonds, Wastewater System, Series    5/14 at 100.00    AAA    685,370 
     2004A, 5.000%, 5/01/20 – MBIA Insured             
350    Missouri Environmental Improvement and Energy Resources Authority, Water Pollution Control    No Opt. Call    Aaa    406,098 
     Revenue Bonds, State Revolving Fund Program – Kansas City Project, Series 1997C, 6.750%,             
     1/01/12             
990    Total Water and Sewer            1,091,468 
$ 44,680    Total Long-Term Investments (cost $45,392,570) – 143.8%            48,240,637 
    Short-Term Investments – 0.6% (0.4% of Total Investments)             
200    Puerto Rico Government Development Bank, Adjustable Refunding Bonds, Variable Rate Demand        A-1     
     Obligations, Series 1985, 3.060%, 12/01/15 – MBIA Insured (5)            200,000 
$             200    Total Short-Term Investments (cost $200,000)            200,000 
    Total Investments (cost $45,592,570) – 144.4%            48,440,637 
    Other Assets Less Liabilities – 3.3%            1,096,625 
    Preferred Shares, at Liquidation Value – (47.7)%            (16,000,000) 
    Net Assets Applicable to Common Shares – 100%            $  33,537,262 

(1)    All percentages shown in the Portfolio of Investments are based on net assets applicable to Common 
    shares unless otherwise noted. 
(2)    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. Certain mortgage-backed securities 
    may be subject to periodic principal paydowns. 
(3)    Ratings: Using the higher of Standard & Poor’s or Moody’s rating. Ratings below BBB by Standard & 
    Poor’s Group or Baa by Moody’s Investor Service, Inc. are considered to be below investment grade. 
(4)    Investment is backed by an escrow or trust containing sufficient U.S. Government or U.S. Government 
    agency securities which ensure the timely payment of principal and interest. Such investments are normally 
    considered to be equivalent to AAA rated securities. 
(5)    Investment has a maturity of more than one year, but has variable rate and demand features which qualify 
    it as a short-term investment. The rate disclosed is that in effect at the end of the reporting period. This 
    rate changes periodically based on market conditions or a specified market index. 
N/R    Investment is not rated. 
(ETM)    Investment is escrowed to maturity. 

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 the treatment of paydown gains and losses, timing differences in recognizing taxable market discount and timing differences in recognizing certain gains and losses on investment transactions.

At February 28, 2006, the cost of investments was $45,580,510.

Gross unrealized appreciation and gross unrealized depreciation of investments at February 28, 2006, were as follows:

Gross unrealized:     
  Appreciation    $2,868,630 
  Depreciation    (8,503) 
Net unrealized appreciation (depreciation) of investments    $2,860,127 

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 Missouri Premium Income Municipal Fund        

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

Date         April 28, 2006        

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                    
                                                   Gifford R. Zimmerman
                                                   Chief Administrative Officer (principal executive officer) 

Date         April 28, 2006        

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

Date        April 28, 2006        

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