Form N-Q

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q


QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number         811-7484         

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

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


Kevin J. McCarthy 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:         2/29/08         

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Schedule of Investments

    Portfolio of Investments (Unaudited)             
    Nuveen Massachusetts Premium Income Municipal Fund (NMT)             
    February 29, 2008             
Principal        Optional Call         
Amount (000)    Description (1)    Provisions (2)    Ratings (3)    Value 
    Consumer Discretionary – 2.1% (1.4% of Total Investments)             
$          1,465    Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds,    9/12 at 102.00    Ba3   $   1,328,711 
     Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax)             
    Education and Civic Organizations – 24.3% (16.2% of Total Investments)             
400    Massachusetts Development Finance Agency, Revenue Bonds, Brandeis University, Series 2007L,    No Opt. Call    A3    400,000 
     5.000%, 10/01/37 – XLCA Insured             
750    Massachusetts Development Finance Agency, Revenue Bonds, Western New England College, Series    9/15 at 100.00    AAA    702,803 
     2005A, 5.000%, 9/01/33 – AGC Insured             
1,045    Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytecnic Institute,    9/17 at 100.00    AAA    986,595 
     Series 2007, 5.000%, 9/01/37 – MBIA Insured             
890    Massachusetts Development Finance Authority, Revenue Bonds, Curry College, Series 2000A,    3/09 at 101.00    BBB    893,747 
     6.000%, 3/01/20 – ACA Insured             
1,745    Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy    7/15 at 100.00    AAA    1,679,981 
     and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 – AGC Insured             
750    Massachusetts Development Finance Authority, Revenue Bonds, Milton Academy, Series 2003A,    9/13 at 100.00    AA–    778,395 
     5.000%, 9/01/19             
1,090    Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University,    No Opt. Call    A–    1,161,177 
     Series 1999P, 6.000%, 5/15/29             
25    Massachusetts Education Loan Authority, Student Loan Revenue Bonds, Issue E, Series 1995,    7/08 at 100.00    Aaa    25,169 
     6.150%, 7/01/10 – AMBAC Insured (Alternative Minimum Tax)             
1,550    Massachusetts Educational Finance Authority, Educational Loan Revenue Bonds, Series 2002E,    1/12 at 100.00    AAA    1,566,058 
     5.000%, 1/01/13 – AMBAC Insured (Alternative Minimum Tax)             
2,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston College,    6/13 at 100.00    AA–    2,109,259 
     Series 2003N, 5.250%, 6/01/18             
500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Hebrew College,    3/08 at 100.00    AA    500,000 
     Series 1999A,, 6.500%, 7/01/31             
500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wellesley College,    7/13 at 100.00    AA+    492,300 
     Series 2003H, 5.000%, 7/01/26             
555    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College,    7/13 at 100.00    AAA    562,093 
     Series 2003H, 5.000%, 7/01/21             
1,380    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College,    7/16 at 100.00    AAA    1,351,972 
     Series 2007L, 5.000%, 7/01/31             
500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Worcester State    11/12 at 100.00    AAA    469,635 
     College, Series 2002, 5.000%, 11/01/32 – AMBAC Insured             
1,645    Massachusetts Industrial Finance Agency, Revenue Bonds, Whitehead Institute for Biomedical    7/08 at 100.00    Aa1    1,643,914 
     Research, Series 1993, 5.125%, 7/01/26             
375    Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities    2/09 at 101.00    BBB–    361,778 
     Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, Series             
     1999, 5.375%, 2/01/19             
15,700    Total Education and Civic Organizations            15,684,876 
    Health Care – 19.3% (12.8% of Total Investments)             
1,250    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Berkshire Health    10/11 at 101.00    BBB+    1,268,713 
     System, Series 2001E, 6.250%, 10/01/31             
1,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Health Care    11/11 at 101.00    AA    918,680 
     Inc., Series 2001C, 5.250%, 11/15/31 – RAAI Insured             
1,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caritas Christi    7/12 at 101.00    BBB    994,290 
     Obligated Group, Series 2002B, 6.250%, 7/01/22             
935    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Emerson Hospital,    8/15 at 100.00    AA    799,846 
     Series 2005E, 5.000%, 8/15/35 – RAAI Insured             
1,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Clinic Medical    8/15 at 100.00    A    963,720 
     Center, Series 2005C, 5.000%, 8/15/21 – FGIC Insured             
2,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Medical    8/17 at 100.00    A    1,922,380 
     Center, Series 2007D, 5.250%, 8/15/28             
585    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional    7/17 at 100.00    BBB–    478,343 
     Medical Center, Series 2007E, 5.000%, 7/15/32             
1,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milton Hospital    7/15 at 100.00    BBB–    857,340 
     Project, Series 2005D, 5.250%, 7/01/30             
750    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, New England Medical    7/08 at 100.00    AAA    750,015 
     Center Hospitals, Series 1993G-1, 5.375%, 7/01/24 – MBIA Insured             
75    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare    7/11 at 101.00    AA    75,781 
     System Inc., Series 2001C, 5.750%, 7/01/32             
375    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial    7/11 at 100.00    BBB    381,334 
     Health Care, Series 2001C, 6.625%, 7/01/32             
1,445    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial    7/15 at 100.00    BBB    1,197,544 
     Health Care, Series 2005D, 5.000%, 7/01/33             
2,000    Massachusetts State, Health and Educational Facilities Authority, Partners HealthCare System    7/17 at 100.00    AA    1,848,920 
     Inc., Series 2007G, 5.000%, 7/01/32             
13,415    Total Health Care            12,456,906 
    Housing/Multifamily – 8.1% (5.4% of Total Investments)             
1,335    Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor    7/17 at 100.00    AAA    1,153,360 
     Project, Series 2007, 4.800%, 7/20/48             
1,860    Massachusetts Development Financing Authority, Assisted Living Revenue Bonds, Prospect House    12/09 at 102.00    N/R    1,866,696 
     Apartments, Series 1999, 7.000%, 12/01/31             
335    Massachusetts Housing Finance Agency, Housing Bonds, Series 2006A, 5.100%, 12/01/37    6/15 at 100.00    AA–    301,044 
     (Alternative Minimum Tax)             
500    Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S, 5.050%, 12/01/23    6/13 at 100.00    AA–    478,480 
     (Alternative Minimum Tax)             
375    Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 1999D,    7/10 at 101.00    AAA    386,970 
     5.500%, 7/01/13 – AMBAC Insured (Alternative Minimum Tax)             
1,000    Somerville Housing Authority, Massachusetts, GNMA Collateralized Mortgage Revenue Bonds,    5/12 at 103.00    AAA    1,007,700 
     Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22             
5,405    Total Housing/Multifamily            5,194,250 
    Housing/Single Family – 3.3% (2.2% of Total Investments)             
990    Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2006-122,    6/15 at 100.00    AA    858,330 
     4.875%, 12/01/37 (Alternative Minimum Tax)             
1,500    Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2006-126,    6/16 at 100.00    AA    1,277,115 
     4.625%, 6/01/32 (Alternative Minimum Tax)             
2,490    Total Housing/Single Family            2,135,445 
    Industrials – 1.2% (0.7% of Total Investments)             
380    Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds,    No Opt. Call    N/R    360,548 
     Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax)             
400    Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Waste Management    No Opt. Call    BBB    408,136 
     Inc., Series 2003, 5.450%, 6/01/14             
780    Total Industrials            768,684 
    Long-Term Care – 7.5% (5.0% of Total Investments)             
1,270    Boston, Massachusetts, FHA-Insured Mortgage Revenue Bonds, Deutsches Altenheim Inc., Series    10/08 at 105.00    AAA    1,320,660 
     1998A, 6.125%, 10/01/31             
1,685    Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007,    10/12 at 102.00    BB–    1,464,450 
     5.250%, 10/01/26             
1,500    Massachusetts Development Finance Authority, GNMA Collateralized Assisted Living Facility    3/12 at 105.00    AAA    1,527,390 
     Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax)             
150    Massachusetts Industrial Finance Agency, FHA-Insured Project Revenue Bonds, Heights Crossing    8/08 at 100.00    AAA    150,165 
     LP, Series 1995, 6.000%, 2/01/15 (Alternative Minimum Tax)             
400    Massachusetts Industrial Finance Agency, First Mortgage Revenue Bonds, Berkshire Retirement    1/11 at 101.00    BBB–    381,944 
     Community, Series 1994B, 4.750%, 7/01/17             
5,005    Total Long-Term Care            4,844,609 
    Tax Obligation/General – 18.3% (12.1% of Total Investments)             
500    Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%, 5/15/23 – AMBAC Insured    5/15 at 100.00    Aaa    512,010 
1,250    Boston, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 1/01/17    1/15 at 100.00    AA+    1,326,388 
1,000    Fall River, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 2/01/21 – FSA Insured    2/13 at 101.00    AAA    1,016,090 
2,500    Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds,    No Opt. Call    AAA    2,972,849 
     Series 1991A, 7.000%, 3/01/21             
1,275    Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2001D, 6.000%, 11/01/13 –    No Opt. Call    AAA    1,439,513 
     MBIA Insured             
980    Monson, Massachusetts, General Obligation Bonds, Series 2002, 5.250%, 5/15/22 – AMBAC Insured    5/12 at 101.00    Aaa    1,000,208 
1,260    Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 – FGIC Insured    No Opt. Call    AA+    1,287,418 
1,000    Puerto Rico, General Obligation and Public Improvement Bonds, Series 2001A, 5.500%, 7/01/29 –    No Opt. Call    A3    982,670 
     FGIC Insured             
1,220    Worcester, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 7/01/19 –    7/15 at 100.00    A    1,241,667 
     FGIC Insured             
10,985    Total Tax Obligation/General            11,778,813 
    Tax Obligation/Limited – 13.8% (9.2% of Total Investments)             
210    Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2004, 5.000%, 5/01/26 –    5/14 at 100.00    AAA    205,013 
     AMBAC Insured             
385    Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Refunding Bonds,    No Opt. Call    AAA    404,808 
     Series 2004C, 5.250%, 7/01/21             
975    Massachusetts Bay Transportation Authority, Senior Sales Tax Revenue Bonds, Series 2006,    7/18 at 100.00    AAA    955,442 
     5.000%, 7/01/26             
550    Massachusetts College Building Authority, Project Revenue Bonds, Series 2004A, 5.000%,    5/14 at 100.00    AAA    559,895 
     5/01/19 – MBIA Insured             
325    Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A, 5.000%,    5/16 at 100.00    AAA    311,636 
     5/01/31 – AMBAC Insured             
1,200    Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%, 5/01/33    5/18 at 100.00    AAA    1,142,184 
     (WI/DD, Settling 3/12/08) – AGC Insured             
1,000    Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B,    No Opt. Call    A1    1,021,300 
     5.375%, 5/01/23 – XLCA Insured             
1,300    Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A,    8/15 at 100.00    AAA    1,328,379 
     5.000%, 8/15/20 – FSA Insured             
540    Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20 –    No Opt. Call    A    538,056 
     FGIC Insured             
1,000    Massachusetts, Special Obligation Refunding Notes, Federal Highway Grant Anticipation Note    No Opt. Call    Aaa    1,077,020 
     Program, Series 2003A, 5.000%, 12/15/13 – FSA Insured             
240    Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A,    No Opt. Call    AAA    26,623 
     0.000%, 7/01/43 – AMBAC Insured             
1,300    Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA,    No Opt. Call    AAA    1,351,077 
     5.500%, 7/01/19 – MBIA Insured             
9,025    Total Tax Obligation/Limited            8,921,433 
    Transportation – 13.5% (9.0% of Total Investments)             
2,000    Massachusetts Port Authority, Revenue Bonds, Series 2003A, 5.000%, 7/01/33 – MBIA Insured    7/13 at 100.00    AAA    1,906,020 
1,700    Massachusetts Port Authority, Revenue Bonds, Series 2005A, 5.000%, 7/01/23 – AMBAC Insured    7/15 at 100.00    AAA    1,681,946 
1,000    Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series    7/17 at 100.00    A    899,900 
     2007, 5.000%, 7/01/32 – FGIC Insured (Alternative Minimum Tax)             
225    Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series    1/11 at 101.00    AAA    205,238 
     2001A, 5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax)             
4,000    Massachusetts Port Authority, Special Facilities Revenue Bonds, US Airways Group Inc., Series    3/08 at 101.00    AAA    4,020,599 
     1996A, 5.750%, 9/01/16 – MBIA Insured (Alternative Minimum Tax)             
8,925    Total Transportation            8,713,703 
    U.S. Guaranteed – 24.9% (16.6% of Total Investments) (4)             
550    Guam Economic Development Authority, Tobacco Settlement Asset-Backed Bonds, Series 2001B,    5/11 at 100.00    Baa3 (4)    588,198 
     5.500%, 5/15/41 (Pre-refunded 5/15/11)             
25    Massachusetts Bay Transportation Authority, Senior Sales Tax Revenue Bonds, Series 2006,    7/18 at 100.00    Aa2 (4)    26,695 
     5.000%, 7/01/26 (Pre-refunded 7/01/18)             
2,500    Massachusetts Development Finance Authority, GNMA Collateralized Revenue Bonds, VOA Concord    10/11 at 105.00    AAA    2,926,699 
     Assisted Living Inc., Series 2000A, 6.900%, 10/20/41 (Pre-refunded 10/20/11)             
500    Massachusetts Development Finance Authority, Revenue Bonds, Belmont Hills School, Series 2001,    9/11 at 101.00    A (4)    540,470 
     5.375%, 9/01/23 (Pre-refunded 9/01/11)             
1,000    Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy    7/13 at 101.00    A– (4)    1,120,330 
     and Allied Health Sciences, Series 2003C, 5.750%, 7/01/33 (Pre-refunded 7/01/13)             
410    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc.,    7/21 at 100.00    AAA    422,267 
     Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21) – MBIA Insured             
600    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, New England Medical    5/12 at 100.00    A (4)    647,076 
     Center Hospitals, Series 2002H, 5.375%, 5/15/19 (Pre-refunded 5/15/12) – FGIC Insured             
1,925    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare    7/11 at 101.00    AA (4)    2,098,096 
     System Inc., Series 2001C, 5.750%, 7/01/32 (Pre-refunded 7/01/11)             
1,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, University of    10/11 at 100.00    A+ (4)    1,069,130 
     Massachusetts – Worcester Campus, Series 2001B, 5.250%, 10/01/31 (Pre-refunded 10/01/11) –             
     FGIC Insured             
2,300    Massachusetts Industrial Finance Agency, Revenue Bonds, Belmont Hill School, Series 1998,    9/08 at 101.00    A (4)    2,354,417 
     5.250%, 9/01/28 (Pre-refunded 9/01/08)             
705    Massachusetts Port Authority, Revenue Bonds, Series 1982, 13.000%, 7/01/13 (ETM)    7/08 at 100.00    AAA    900,038 
1,500    Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/25    1/14 at 100.00    A (4)    1,627,155 
     (Pre-refunded 1/01/14) – FGIC Insured             
1,615    Springfield, Massachusetts, General Obligation Bonds, Series 2003, 5.250%, 1/15/23    1/13 at 100.00    AAA    1,749,174 
     (Pre-refunded 1/15/13) – MBIA Insured             
14,630    Total U.S. Guaranteed            16,069,745 
    Utilities – 3.2% (2.1% of Total Investments)             
1,000    Massachusetts Development Finance Agency, Resource Recovery Revenue Bonds, SEMass System,    1/12 at 101.00    AAA    1,070,620 
     Series 2001A, 5.625%, 1/01/16 – MBIA Insured             
1,000    Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden    12/08 at 102.00    BBB    980,770 
     Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)             
2,000    Total Utilities            2,051,390 
    Water and Sewer – 11.1% (7.3% of Total Investments)             
2,000    Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Series    11/14 at 100.00    AA    1,997,540 
     2004A, 5.000%, 11/01/25             
60    Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2003-9,    8/13 at 100.00    AAA    60,394 
     5.000%, 8/01/22             
285    Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2004-10,    8/14 at 100.00    AAA    279,277 
     5.000%, 8/01/26             
750    Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2005-11,    8/15 at 100.00    AAA    678,488 
     4.500%, 8/01/29             
1,000    Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12,    8/16 at 100.00    AAA    876,570 
     4.375%, 8/01/31             
1,250    Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 2002A,    8/12 at 100.00    AAA    1,293,913 
     5.250%, 8/01/20             
1,500    Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.000%,    8/17 at 100.00    AAA    1,462,470 
     8/01/28 – MBIA Insured             
625    Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A, 4.000%, 8/01/46    8/16 at 100.00    AA    478,706 
7,470    Total Water and Sewer            7,127,358 
$        97,295    Total Investments (cost $99,099,005) – 150.6%            97,075,923 
    Other Assets Less Liabilities – 2.2%            1,373,499 
    Preferred Shares, at Liquidation Value – (52.8)% (5)            (34,000,000)
    Net Assets Applicable to Common Shares – 100%           $   64,449,422 

Forward Swaps outstanding at February 29, 2008:                         
        Fund            Fixed Rate            Unrealized 
    Notional    Pay/Receive    Floating Rate    Fixed Rate    Payment    Effective    Termination    Appreciation 
Counterparty    Amount    Floating Rate    Index    (Annualized)    Frequency    Date (6)    Date    (Depreciation) 
JPMorgan    $1,250,000    Pay    3-Month USD-LIBOR    5.388%    Semi-Annually    4/25/08    4/25/35    $  97,954 
Royal Bank of Canada    1,450,000    Pay    SIFM    4.335       Quarterly    8/06/08    8/06/37    81,376 
                                $179,330 
USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate)                     
SIFM – The daily arithmetic average of the weekly SIFM (Securities Industry and Financial Markets) Municipal Swap Index.             

(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 Group (“Standard & Poor’s”) or Moody’s Investor Service, 
    Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be 
    below investment grade. 
    The Portfolio of Investments reflects the ratings on certain bonds insured by AMBAC, CIFG, FGIC, MBIA 
    and XLCA as of February 29, 2008. Subsequent to February 29, 2008, at least one rating agency reduced 
    the rating for AMBAC-insured bonds to AA and at least one rating agency further reduced the ratings for 
    CIFG-insured, FGIC-insured and XLCA-insured bonds. As of February 29, 2008, one or more rating agencies 
    have placed each of these insurers on “negative credit watch”, which may presage one or more rating 
    reductions for such insurer or insurers in the future. If one or more insurers’ ratings are reduced by these 
    rating agencies, it would likely reduce the effective rating of many of the bonds insured by that insurer 
    or insurers. 
(4)    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)    Preferred Shares, at Liquidation Value as a percentage of total investments is (35.0)%. 
(6)    Effective date represents the date on which both the Fund and counterparty commence interest payment 
    accruals on each forward swap contract. 
N/R    Not rated. 
WI/DD    Purchased on a when-issued or delayed delivery basis. 
(ETM)    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. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund. At February 29, 2008, the cost of investments was $99,025,800.

Gross unrealized appreciation and gross unrealized depreciation of investments at February 29, 2008, were as follows:

Gross unrealized:     
  Appreciation    $  2,107,181 
  Depreciation    (4,057,058) 
Net unrealized appreciation (depreciation) of investments    $(1,949,877) 

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: See EX-99 CERT attached hereto.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)         Nuveen Massachusetts Premium Income Municipal Fund         

By (Signature and Title)          /s/ Kevin J. McCarthy                    
                                                  Kevin J. McCarthy
                                                  Vice President and Secretary

Date         April 29, 2008        

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 29, 2008        

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

Date        April 29, 2008