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:         8/31/09         

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)       
  August 31, 2009       
Principal    Optional Call     
Amount (000)  Description (1)  Provisions (2)  Ratings (3)  Value 
  Consumer Discretionary – 1.5% (1.0% of Total Investments)       
$      1,425  Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds,  9/12 at 102.00  B3  $      962,759 
  Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax)       
  Education and Civic Organizations – 30.5% (20.2% of Total Investments)       
1,045  Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute,  9/17 at 100.00  A+  1,021,895 
  Series 2007, 5.000%, 9/01/37 – NPFG Insured       
890  Massachusetts Development Finance Authority, Revenue Bonds, Curry College, Series 2000A,  9/09 at 101.00  BBB  896,070 
  6.000%, 3/01/20 – ACA Insured       
1,745  Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy  7/15 at 100.00  Aa2  1,811,886 
  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–  795,765 
  5.000%, 9/01/19       
4,900  Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation,  1/18 at 100.00  AAA  4,906,272 
  Series 2008A, 5.000%, 1/01/42 – AGC Insured (UB)       
1,090  Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University,  No Opt. Call  A2  1,229,945 
  Series 1999P, 6.000%, 5/15/29       
1,550  Massachusetts Educational Finance Authority, Educational Loan Revenue Bonds, Series 2002E,  1/12 at 100.00  AA  1,590,037 
  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–  2,179,900 
  Series 2003N, 5.250%, 6/01/18       
500  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Hebrew College,  9/09 at 100.00  BBB+  447,505 
  Series 1999A, 0.800%, 7/01/31 – RAAI Insured (4)       
500  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wellesley College,  7/13 at 100.00  Aaa  522,460 
  Series 2003H, 5.000%, 7/01/26       
555  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College,  7/13 at 100.00  AAA  605,827 
  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  1,444,915 
  Series 2007L, 5.000%, 7/01/31       
500  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Worcester State  11/12 at 100.00  A–  489,225 
  College, Series 2002, 5.000%, 11/01/32 – AMBAC Insured       
1,645  Massachusetts Industrial Finance Agency, Revenue Bonds, Whitehead Institute for Biomedical  1/10 at 100.00  Aa1  1,646,217 
  Research, Series 1993, 5.125%, 7/01/26       
375  Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities  2/10 at 100.50  BBB–  335,730 
  Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, Series       
  1999, 5.375%, 2/01/19       
19,425  Total Education and Civic Organizations      19,923,649 
  Health Care – 24.2% (16.0% of Total Investments)       
1,250  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Berkshire Health  10/11 at 101.00  BBB+  1,195,238 
  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  BBB–  789,070 
  Inc., Series 2001C, 5.250%, 11/15/31 – RAAI Insured       
  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Capital Asset       
  Program, Series 1998B-1:       
1,800  5.375%, 2/01/26 – MBIA Insured  8/18 at 100.00  A  1,726,956 
770  5.375%, 2/01/28 – MBIA Insured  8/18 at 100.00  A  727,396 
1,500  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Capital Asset  8/18 at 100.00  A  1,429,035 
  Program, Series 1998B-2, 5.375%, 2/01/27 – MBIA Insured       
1,000  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caritas Christi  7/12 at 101.00  BBB  957,000 
  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  BBB–  656,819 
  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  985,830 
  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  1,878,820 
  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–  451,357 
  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  BB–  623,830 
  Project, Series 2005D, 5.250%, 7/01/30       
750  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, New England Medical  1/10 at 100.00  A  721,395 
  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  77,118 
  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+  377,423 
  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+  1,220,967 
  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  2,012,740 
  Inc., Series 2007G, 5.000%, 7/01/32       
17,485  Total Health Care      15,830,994 
  Housing/Multifamily – 7.6% (5.0% of Total Investments)       
1,325  Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor  7/17 at 100.00  AAA  1,210,215 
  Project, Series 2007, 4.800%, 7/20/48       
1,815  Massachusetts Development Financing Authority, Assisted Living Revenue Bonds, Prospect House  12/09 at 102.00  N/R  1,607,781 
  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–  306,914 
  (Alternative Minimum Tax)       
500  Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S, 5.050%, 12/01/23  6/13 at 100.00  AA–  490,015 
  (Alternative Minimum Tax)       
285  Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 1999D,  7/10 at 101.00  N/R  289,939 
  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  1,038,250 
  Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22       
5,260  Total Housing/Multifamily      4,943,114 
  Housing/Single Family – 3.6% (2.4% of Total Investments)       
1,500  Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2006-126,  6/16 at 100.00  AA  1,337,475 
  4.625%, 6/01/32 (Alternative Minimum Tax)       
985  Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2008, Trust  6/18 at 100.00  AA  1,019,968 
  3145, 14.068%, 12/01/28 (IF)       
2,485  Total Housing/Single Family      2,357,443 
  Industrials – 1.0% (0.7% of Total Investments)       
305  Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds,  No Opt. Call  N/R  268,659 
  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  394,628 
  Inc., Series 2003, 5.450%, 6/01/14       
705  Total Industrials      663,287 
  Long-Term Care – 6.8% (4.4% of Total Investments)       
1,270  Boston, Massachusetts, FHA-Insured Mortgage Revenue Bonds, Deutsches Altenheim Inc.,  10/09 at 104.00  AAA  1,321,168 
  Series 1998A, 6.125%, 10/01/31       
1,685  Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007,  10/12 at 102.00  N/R  1,179,011 
  5.250%, 10/01/26       
1,500  Massachusetts Development Finance Authority, GNMA Collateralized Assisted Living Facility  3/12 at 105.00  AAA  1,528,740 
  Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax)       
400  Massachusetts Industrial Finance Agency, First Mortgage Revenue Bonds, Berkshire Retirement  1/11 at 101.00  BBB–  373,348 
  Community, Series 1994B, 4.750%, 7/01/17       
4,855  Total Long-Term Care      4,402,267 
  Tax Obligation/General – 18.8% (12.4% of Total Investments)       
500  Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%, 5/15/23 – AMBAC Insured  5/15 at 100.00  A1  533,145 
1,250  Boston, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 1/01/17  1/15 at 100.00  AA+  1,405,088 
1,000  Fall River, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 2/01/21 – FSA Insured  2/13 at 101.00  AAA  1,015,940 
2,500  Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds,  No Opt. Call  AAA  3,069,500 
  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  AA  1,494,377 
  NPFG Insured       
980  Monson, Massachusetts, General Obligation Bonds, Series 2002, 5.250%, 5/15/22 – AMBAC Insured  5/12 at 101.00  A3  1,039,564 
1,260  Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 – FGIC Insured  No Opt. Call  AAA  1,474,817 
1,000  Puerto Rico, General Obligation and Public Improvement Bonds, Series 2001A, 5.500%, 7/01/29 –  No Opt. Call  Baa3  955,760 
  FGIC Insured       
1,220  Worcester, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 7/01/19 – FGIC Insured  7/15 at 100.00  A  1,297,202 
10,985  Total Tax Obligation/General      12,285,393 
  Tax Obligation/Limited – 14.5% (9.6% of Total Investments)       
210  Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2004, 5.000%, 5/01/26 –  5/14 at 100.00  A  216,323 
  AMBAC Insured       
385  Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Refunding Bonds,  No Opt. Call  AAA  454,720 
  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  1,058,236 
  5.000%, 7/01/26       
550  Massachusetts College Building Authority, Project Revenue Bonds, Series 2004A, 5.000%, 5/01/19 –  5/14 at 100.00  A1  596,750 
  NPFG Insured       
325  Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A, 5.000%, 5/01/31 –  5/16 at 100.00  A1  323,274 
  AMBAC Insured       
1,200  Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%, 5/01/33 –  5/18 at 100.00  AAA  1,228,740 
  AGC Insured       
1,000  Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B,  No Opt. Call  A1  1,094,970 
  5.375%, 5/01/23 – SYNCORA GTY Insured       
1,300  Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A,  8/15 at 100.00  AAA  1,450,878 
  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  593,471 
  FGIC Insured       
1,000  Massachusetts, Special Obligation Refunding Notes, Federal Highway Grant Anticipation Note  No Opt. Call  Aa3  1,115,180 
  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  BBB+  20,256 
  0.000%, 7/01/43 – AMBAC Insured       
1,300  Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA,  No Opt. Call  A  1,323,608 
  5.500%, 7/01/19 – NPFG Insured       
9,025  Total Tax Obligation/Limited      9,476,406 
  Transportation – 9.8% (6.5% of Total Investments)       
2,000  Massachusetts Port Authority, Revenue Bonds, Series 2003A, 5.000%, 7/01/33 – NPFG Insured  7/13 at 100.00  AA–  1,969,740 
1,000  Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series  7/17 at 100.00  A  906,410 
  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  N/R  120,861 
  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  9/09 at 100.00  A  3,408,317 
  1996A, 5.750%, 9/01/16 – NPFG Insured (Alternative Minimum Tax)       
7,225  Total Transportation      6,405,328 
  U.S. Guaranteed – 18.3% (12.1% of Total Investments) (5)       
550  Guam Economic Development Authority, Tobacco Settlement Asset-Backed Bonds, Series 2001B,  5/11 at 100.00  N/R (5)  590,777 
  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 (5)  29,352 
  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  N/R (5)  2,932,150 
  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 (5)  549,065 
  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– (5)  1,166,550 
  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  459,430 
  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  N/R (5)  662,670 
  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  AAA  2,117,211 
  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+ (5)  1,090,770 
  Massachusetts – Worcester Campus, Series 2001B, 5.250%, 10/01/31 (Pre-refunded 10/01/11) –       
  FGIC Insured       
525  Massachusetts Port Authority, Revenue Bonds, Series 1982, 13.000%, 7/01/13 (ETM)  1/10 at 100.00  AAA  664,424 
1,500  Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/25  1/14 at 100.00  A (5)  1,691,040 
  (Pre-refunded 1/01/14) – FGIC Insured       
10,535  Total U.S. Guaranteed      11,953,439 
  Utilities – 2.9% (1.9% of Total Investments)       
1,000  Massachusetts Development Finance Agency, Resource Recovery Revenue Bonds, SEMass System,  1/12 at 101.00  A  1,005,790 
  Series 2001A, 5.625%, 1/01/16 – NPFG Insured       
1,000  Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden  12/09 at 101.00  BBB  864,680 
  Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)       
2,000  Total Utilities      1,870,470 
  Water and Sewer – 11.8% (7.8% of Total Investments)       
2,000  Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Series  11/14 at 100.00  AA+  2,120,380 
  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  63,502 
  5.000%, 8/01/22       
285  Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2004-10,  8/14 at 100.00  AAA  301,114 
  5.000%, 8/01/26       
750  Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2005-11,  8/15 at 100.00  AAA  764,805 
  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  1,006,800 
  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  1,358,288 
  5.250%, 8/01/20       
1,500  Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.000%, 8/01/28 –  8/17 at 100.00  AA+  1,582,125 
  NPFG Insured       
625  Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A, 4.000%, 8/01/46  8/16 at 100.00  AA+  512,244 
7,470  Total Water and Sewer      7,709,258 
$      98,880  Total Investments (cost $100,334,633) – 151.3%      98,783,807 
  Floating Rate Obligations – (3.8)%      (2,450,000)
  Other Assets Less Liabilities – 4.6%      2,969,050 
  Preferred Shares, at Liquidation Value – (52.1)% (6)      (34,000,000)
  Net Assets Applicable to Common Shares – 100%      $   65,302,857 


Fair Value Measurements 
In determining the value of the Fund’s investments various inputs are used. These inputs are 
summarized in the three broad levels listed below: 
Level 1 – Quoted prices in active markets for identical securities. 
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, 
             prepayment speeds, credit risk, etc.). 
Level 3 – Significant unobservable inputs (including management’s assumptions in determining the fair 
             value of investments). 
The inputs or methodology used for valuing securities are not an indication of the risk associated with 
investing in those securities. The following is a summary of the Fund’s fair value measurements as of 
August 31, 2009: 

  Level 1  Level 2  Level 3  Total 
Investments:         
Municipal Bonds  $ —  $98,336,302  $447,505  $98,783,807 

The following is a reconciliation of the Fund’s Level 3 investments held at the beginning and end of the 
measurement period: 

  Level 3 
  Investments 
Balance at beginning of period  $457,505 
 Gains (losses):   
     Net realized gains (losses)  — 
     Net change in unrealized appreciation (depreciation)  (10,000)
 Net purchases at cost (sales at proceeds)  — 
 Net discounts (premiums)  — 
 Net transfers in to (out of) at end of period fair value  — 
Balance at end of period  $447,505 

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 timing differences in recognizing taxable 
market discount, timing differences in recognizing certain gains and losses on investment transactions and 
the treatment of investments in inverse floating rate transactions subject to Statement of Financial Accounting 
Standards No. 140 (SFAS No. 140), if any. 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 August 31, 2009, the cost of investments was $97,795,822. 
Gross unrealized appreciation and gross unrealized depreciation of investments at August 31, 2009, 
were as follows: 

Gross unrealized:   
  Appreciation  $ 3,347,713 
  Depreciation  (4,814,187)
Net unrealized appreciation (depreciation) of investments  $(1,466,474)

(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. 
(4)  Investment valued at fair value using methods determined in good faith by, or at the discretion 
  of, the Board of Trustees. For Statement of Financial Accounting Standards No. 157 disclosure purposes, 
  investment categorized as Level 3. 
(5)  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. 
(6)  Preferred Shares, at Liquidation Value as a percentage of Total Investments is 34.4%. 
N/R  Not rated. 
(ETM)  Escrowed to maturity. 
(IF)  Inverse floating rate investment. 
(UB)  Underlying bond of an inverse floating rate trust reflected as a financing transaction pursuant to the 
  provisions of SFAS No. 140. 

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         October 30, 2009        

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         October 30, 2009        

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

Date        October 30, 2009