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:         2/28/09         

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)             
    February 28, 2009             
Principal        Optional Call         
Amount (000)    Description (1)    Provisions (2)    Ratings (3)    Value 
    Consumer Discretionary – 1.6% (1.0% of Total Investments)             
$     1,445    Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds,    9/12 at 102.00    B3   $   946,215 
     Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax)             
    Education and Civic Organizations – 32.0% (20.4% of Total Investments)             
1,045    Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute,    9/17 at 100.00    AA–    991,799 
     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    848,330 
     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    1,756,203 
     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–    794,093 
     5.000%, 9/01/19             
4,900    Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation,    1/18 at 100.00    AAA    4,716,446 
     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    1,193,866 
     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    1,566,678 
     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–    2,168,640 
     Series 2003N, 5.250%, 6/01/18             
500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Hebrew College,    3/09 at 100.00    BBB+    339,927 
     Series 1999A, 1.200%, 7/01/31 – RAAI Insured (4)             
500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wellesley College,    7/13 at 100.00    Aaa    513,310 
     Series 2003H, 5.000%, 7/01/26             
555    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College,    7/13 at 100.00    AAA    581,707 
     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    1,401,100 
     Series 2007L, 5.000%, 7/01/31             
500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Worcester State    11/12 at 100.00    A    477,915 
     College, Series 2002, 5.000%, 11/01/32 – AMBAC Insured             
1,645    Massachusetts Industrial Finance Agency, Revenue Bonds, Whitehead Institute for Biomedical    7/09 at 100.00    Aa1    1,645,345 
     Research, Series 1993, 5.125%, 7/01/26             
375    Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities    8/09 at 101.00    BBB–    319,530 
     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            19,314,889 
    Health Care – 23.7% (15.1% of Total Investments)             
1,250    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Berkshire Health    10/11 at 101.00    BBB+    1,031,325 
     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+    698,470 
     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    A3    1,532,250 
770     5.375%, 2/01/28 – MBIA Insured    8/18 at 100.00    A3    635,258 
1,500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Capital Asset    8/18 at 100.00    A3    1,257,840 
     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    861,220 
     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+    619,783 
     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    AA–    893,870 
     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    1,794,140 
     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–    348,789 
     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–    647,190 
     Project, Series 2005D, 5.250%, 7/01/30             
750    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, New England Medical    7/09 at 100.00    AA–    648,450 
     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    75,163 
     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    309,116 
     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    991,920 
     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    1,907,160 
     Inc., Series 2007G, 5.000%, 7/01/32             
17,485    Total Health Care            14,251,944 
    Housing/Multifamily – 7.8% (5.0% of Total Investments)             
1,335    Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor    7/17 at 100.00    AAA    1,117,008 
     Project, Series 2007, 4.800%, 7/20/48             
1,830    Massachusetts Development Financing Authority, Assisted Living Revenue Bonds, Prospect House    12/09 at 102.00    N/R    1,459,388 
     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–    294,311 
     (Alternative Minimum Tax)             
500    Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S, 5.050%, 12/01/23    6/13 at 100.00    AA–    466,865 
     (Alternative Minimum Tax)             
320    Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 1999D,    7/10 at 101.00    A    328,285 
     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    1,015,110 
     Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22             
5,320    Total Housing/Multifamily            4,680,967 
    Housing/Single Family – 3.5% (2.2% of Total Investments)             
1,500    Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2006-126,    6/16 at 100.00    AA    1,234,875 
     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    862,830 
     3145, 13.576%, 12/01/28 (IF)             
2,485    Total Housing/Single Family            2,097,705 
    Industrials – 1.1% (0.7% of Total Investments)             
345    Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds,    No Opt. Call    N/R    294,461 
     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    376,268 
     Inc., Series 2003, 5.450%, 6/01/14             
745    Total Industrials            670,729 
    Long-Term Care – 6.8% (4.3% of Total Investments)             
1,270    Boston, Massachusetts, FHA-Insured Mortgage Revenue Bonds, Deutsches Altenheim Inc., Series    4/09 at 105.00    AAA    1,290,447 
     1998A, 6.125%, 10/01/31             
1,685    Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007,    10/12 at 102.00    BB–    1,041,397 
     5.250%, 10/01/26             
1,500    Massachusetts Development Finance Authority, GNMA Collateralized Assisted Living Facility    3/12 at 105.00    AAA    1,397,025 
     Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax)             
5    Massachusetts Industrial Finance Agency, FHA-Insured Project Revenue Bonds, Heights Crossing    8/09 at 100.00    AAA    5,002 
     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–    354,360 
     Community, Series 1994B, 4.750%, 7/01/17             
4,860    Total Long-Term Care            4,088,231 
    Tax Obligation/General – 20.1% (12.8% of Total Investments)             
500    Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%, 5/15/23 – AMBAC Insured    5/15 at 100.00    A1    522,585 
1,250    Boston, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 1/01/17    1/15 at 100.00    AA+    1,392,275 
1,000    Fall River, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 2/01/21 – FSA Insured    2/13 at 101.00    AAA    994,200 
2,500    Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds,    No Opt. Call    AA    3,098,748 
     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    1,491,062 
     MBIA Insured             
980    Monson, Massachusetts, General Obligation Bonds, Series 2002, 5.250%, 5/15/22 – AMBAC Insured    5/12 at 101.00    A3    1,031,274 
1,260    Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 – FGIC Insured    No Opt. Call    AA+    1,439,147 
1,000    Puerto Rico, General Obligation and Public Improvement Bonds, Series 2001A, 5.500%, 7/01/29 –    No Opt. Call    Baa3    881,780 
     FGIC Insured             
1,220    Worcester, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 7/01/19 –    7/15 at 100.00    AA–    1,267,604 
     FGIC Insured             
10,985    Total Tax Obligation/General            12,118,675 
    Tax Obligation/Limited – 15.3% (9.7% 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    212,054 
     AMBAC Insured             
385    Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Refunding Bonds,    No Opt. Call    AAA    439,786 
     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    1,014,439 
     5.000%, 7/01/26             
550    Massachusetts College Building Authority, Project Revenue Bonds, Series 2004A, 5.000%,    5/14 at 100.00    AA–    590,216 
     5/01/19 – MBIA Insured             
325    Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A, 5.000%,    5/16 at 100.00    A1    311,529 
     5/01/31 – AMBAC Insured             
1,200    Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%,    5/18 at 100.00    AAA    1,196,580 
     5/01/33 – AGC Insured             
1,000    Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B,    No Opt. Call    A1    1,068,150 
     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    1,402,908 
     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    AA–    574,387 
     FGIC Insured             
1,000    Massachusetts, Special Obligation Refunding Notes, Federal Highway Grant Anticipation Note    No Opt. Call    Aa3    1,126,080 
     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    A    17,254 
     0.000%, 7/01/43 – AMBAC Insured             
1,300    Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA,    No Opt. Call    AA–    1,235,910 
     5.500%, 7/01/19 – MBIA Insured             
9,025    Total Tax Obligation/Limited            9,189,293 
    Transportation – 9.7% (6.2% of Total Investments)             
2,000    Massachusetts Port Authority, Revenue Bonds, Series 2003A, 5.000%, 7/01/33 – MBIA Insured    7/13 at 100.00    AA–    1,907,820 
1,000    Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series    7/17 at 100.00    AA–    802,660 
     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    A    136,737 
     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    3/09 at 100.00    AA–    3,010,880 
     1996A, 5.750%, 9/01/16 – MBIA Insured (Alternative Minimum Tax)             
7,225    Total Transportation            5,858,097 
    U.S. Guaranteed – 20.1% (12.8% of Total Investments) (5)             
550    Guam Economic Development Authority, Tobacco Settlement Asset-Backed Bonds, Series 2001B,    5/11 at 100.00    Baa3 (5)    599,049 
     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    AAA    29,325 
     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    2,977,175 
     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)    554,425 
     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)    1,174,730 
     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    AA– (5)    435,022 
     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)    662,370 
     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    2,131,091 
     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)    1,087,980 
     Massachusetts – Worcester Campus, Series 2001B, 5.250%, 10/01/31 (Pre-refunded 10/01/11) –             
     FGIC Insured             
620    Massachusetts Port Authority, Revenue Bonds, Series 1982, 13.000%, 7/01/13 (ETM)    7/09 at 100.00    AAA    788,584 
1,500    Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/25    1/14 at 100.00    A (5)    1,680,150 
     (Pre-refunded 1/01/14) – FGIC Insured             
10,630    Total U.S. Guaranteed            12,119,901 
    Utilities – 3.0% (1.9% of Total Investments)             
1,000    Massachusetts Development Finance Agency, Resource Recovery Revenue Bonds, SEMass System,    1/12 at 101.00    AA–    988,480 
     Series 2001A, 5.625%, 1/01/16 – MBIA Insured             
1,000    Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden    6/09 at 102.00    BBB    791,080 
     Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)             
2,000    Total Utilities            1,779,560 
    Water and Sewer – 12.3% (7.9% of Total Investments)             
2,000    Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Series    11/14 at 100.00    AA+    2,073,000 
     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    62,611 
     5.000%, 8/01/22             
285    Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2004-10,    8/14 at 100.00    AAA    292,253 
     5.000%, 8/01/26             
750    Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2005-11,    8/15 at 100.00    AAA    723,728 
     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    909,730 
     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    1,348,138 
     5.250%, 8/01/20             
1,500    Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.000%,    8/17 at 100.00    AA+    1,519,500 
     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+    492,644 
7,470    Total Water and Sewer            7,421,604 
$        99,100    Total Investments (cost $100,701,778) – 157.0%            94,537,810 
    Floating Rate Obligations – (4.1)%            (2,450,000)
    Other Assets Less Liabilities – 3.6%            2,114,104 
    Preferred Shares, at Liquidation Value – (56.5)% (6)            (34,000,000)
    Net Assets Applicable to Common Shares – 100%          $  60,201,914 

Fair Value Measurements

During the current fiscal period, the Fund adopted the provisions of Statement of Financial Accounting Standards No. 157 (SFAS No.157) “Fair Value Measurements.” SFAS No. 157 defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles, and expands disclosure about 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 February 28, 2009:

    Level 1    Level 2    Level 3    Total 
Investments    $ —    $94,197,883    $339,927    $94,537,810 

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    $389.384 
 Gains (losses):    — 
     Net realized gains (losses)    (49,457) 
     Net change in unrealized appreciation (depreciation)    — 
 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    $339,927 

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 February 28, 2009, the cost of investments was $98,173,701.

Gross unrealized appreciation and gross unrealized depreciation of investments at February 28, 2009, were as follows:

Gross unrealized:     
  Appreciation    $ 2,757,377 
  Depreciation    (8,843,292)
Net unrealized appreciation (depreciation) of investments    $(6,085,915)

(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 may reflect the ratings on certain bonds insured by ACA, AGC, AMBAC, CIFG, 
    FGIC, FSA, MBIA, RAAI and SYNCORA as of February 28, 2009. Subsequent to February 28, 2009, and 
    during the period this Portfolio of Investments was prepared, there may have been reductions to the 
    ratings of certain bonds resulting from changes to the ratings of the underlying insurers both during the 
    period and after period end. Such reductions would likely reduce the effective rating of many of the bonds 
    insured by that insurer or insurers presented at period end. 
(4)    Investment valued at fair value using methods determined in good faith by, or at the discretion of, the 
    Board of Trustees. 
(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 36.0%. 
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         April 29, 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         April 29, 2009        

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

Date        April 29, 2009