Natural wonders are like wonders, except they are already built on the Earth(Different ones may or may not be), much like terrain. In fact, most Natural wonders appear on specific terrain, such as mountains, and will be improved by respective enhancements, such as buildings that enhance the production of mountains. If a city is built next to one, it counts as a wonder in that city as long as it is in the borders.
Natural Wonders are impassable (except by Sky units). They are created and placed automatically in the beginning of the game. There are a limited number of natural wonders to discover on each map, determined by the map's size.