Retrieving natural features from OSM via the Overpass API is surely a possible solution. See this example query using overpass turbo (which is just a nice web-frontend for the Overpass API).
Note that the Overpass API supports XML and JSON and that overpass turbo adds some more file formats.
Also do note that there might be other interesting keys apart from the natural key. Take a look at the map features which roughly correspond to the most commonly used tags. Additionally, there is taginfo where you can find even more tags.