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Shareholder CommentaryMarch 31, 2010

DIVIDEND &INCOME TRUST

This report is printed on recycled paper.

Our cover icon represents the underpinnings of Gabelli. The Teton mountains in Wyoming represent what we believe inin America – that creativity, ingenuity, hard work, and a global uniqueness provide enduring values. They also stand out inan increasingly complex, interconnected, and interdependent economic world.

Investment Objective:

The Gabelli Dividend & Income Trust is a non-diversified, closed-end managementinvestment company. The Fund’s investment objective is to seek a high level of totalreturn with an emphasis on dividends and income. In making stock selections, theFund’s investment adviser looks for securities that have a superior yield, as well ascapital gains potential.


We have separated the portfolio managers’ commentary from the financial statements and investment portfolio due tocorporate governance regulations stipulated by the Sarbanes-Oxley Act of 2002. We have done this to ensure that thecontent of the portfolio managers’ commentary is unrestricted. The financial statements and investment portfolio aremailed separately from the commentary. Both the commentary and the financial statements, including the portfolio ofinvestments, will be available on our website at www.gabelli.com.

To Our Shareholders,

Corporate earnings were surprisingly strong for the fourth quarter in a row as costcutting helped to drive earnings and cash generation. Balance sheets of corporate America arenow extremely strong and are flush with cash. We believe that companies will be utilizing thiscash and increasing their dividends over the next few years at a faster rate than we have seenin decades. There are several reasons for this; corporations cut dividends to low rates whenthe economy appeared to be in a tailspin last year; companies have restructured dramaticallyto improve not only their margins but also their cash generation; and, with a longer period ofslow growth ahead, companies will continue to be slow to hire and spend.

The bull market in stocks entered its second year with strong gains in the first quarter,with the Dow Jones Industrial Average and the S&P 500 Index gaining 4.8% and 5.4%respectively. The U.S. stock market is now up 70% from the March 2009 low, although itremains 25% below the all time highs posted in October of 2007.

The market sold off early in the first quarter as investors became concerned about theFederal Reserve discount rate tightening, Greek sovereign debt default, and the consequencesof the President either succeeding or failing at an ambitious domestic policy agenda. However,policy makers in the U.S. and abroad made clear their willingness to continue to provideliquidity and stimulus in order to ensure continued recovery, and err on the side of strength. Asa result, risk tolerance came back to the markets that moved higher. These continuing gains,however, have not done much to persuade individual investors, who continued to shun the stockmarket in the first quarter and poured their money instead into bond funds.


Comparative Results

Average Annual Returns through March 31, 2010 (a)Since

InceptionQuarter 1 Year 3 Year 5 Year (11/28/03)

Gabelli Dividend & Income TrustNAV Total Return (b) . . . . . . . . . . . . . . . . . . . . . . . 4.48% 71.19% (5.83)% 2.58% 4.11%Investment Total Return (c) . . . . . . . . . . . . . . . . . . 6.47 77.46 (5.93) 2.88 1.81

S&P 500 Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.39 49.73 (4.16) 1.92 3.66Dow Jones Industrial Average . . . . . . . . . . . . . . . . . . . 4.81 46.87 (1.48) 3.33 4.27Nasdaq Composite Index . . . . . . . . . . . . . . . . . . . . . . . 5.68 56.87 (0.33) 3.70 3.23

(a) Returns represent past performance and do not guarantee future results. Investment returns and the principal value of aninvestment will fluctuate. When shares are sold, they may be worth more or less than their original cost. Current performance maybe lower or higher than the performance data presented. Visit www.gabelli.com for performance information as of the most recentmonth end. Performance returns for periods of less than one year are not annualized. Investors should carefully consider theinvestment objectives, risks, charges, and expenses of the Fund before investing. The Dow Jones Industrial Average is anunmanaged index of 30 large capitalization stocks. The S&P 500 and the Nasdaq Composite Indices are unmanaged indicatorsof stock market performance. Dividends are considered reinvested except for the Nasdaq Composite Index. You cannot investdirectly in an index.

(b) Total returns and average annual returns reflect changes in the net asset value (“NAV”) per share and reinvestment ofdistributions at NAV on the ex-dividend date and are net of expenses. Since inception return is based on an initial NAV of $19.06.

(c) Total returns and average annual returns reflect changes in closing market values on the New York Stock Exchange andreinvestment of distributions. Since inception return is based on an initial offering price of $20.00.

Barbara G. Marcin, CFA

Mario J. Gabelli, CFA

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Performance

The Gabelli Dividend & Income Trust’s (the “Fund”) NAV total return was 4.5% during the first quarter of 2010,compared with gains of 5.4% and 4.8% for the S&P 500 Index and the Dow Jones Industrial Average, respectively. Thetotal return for the Fund’s publicly traded shares was 6.5% during the first quarter. For the one year period ending March 31, 2010, the Fund’s NAV total return was 71.2% and the total return for the Fund’s publicly traded shares was77.5%, compared with gains of 49.7% and 46.9% for the S&P 500 Index and the Dow Jones Industrial Average,respectively. On March 31, 2010, the Fund’s NAV per share was $16.09, while the price of the publicly traded sharesclosed at $13.77 on the NYSE.

The stock sectors that performed the best in the quarter were those most closely tied to a recovering economy andthe resulting lower risk; these were industrial, financial, and consumer discretionary stocks. These three sectors also postedthe strongest gains over the past twelve months, with each sector gaining over 70%. The three sectors that lost ground orgained the least during the quarter were less leveraged to economic strength than other industries, reacting to specificbusiness factors of their own. These were telecommunications, utilities, and energy. These are also the three sectors withthe weakest performance for the past twelve months, all posting gains of less than 30%.

Stocks in the Fund that performed well, gaining over 10%, included some of our larger positions – companies withglobal brand franchises such as such as Honeywell, Sara Lee, Dr Pepper Snapple, Cablevision, Hershey, Intel, andTravelers.

Market Commentary

The economy continued to recover in the first quarter, benefiting from the resumption of business activity, thereplacement of inventories, and an increase in factory production. Manufacturing rose strongly in March, indicating solidgrowth at the highest level since 2004.

Concerns over residential housing supply and increasing mortgage defaults, federal debt levels, the stubbornly highunemployment rate, commercial real estate losses, and states’ struggle to cover massive budget deficits were deferred untilsome later time. The markets focused on the current recovery and the outlook for continued improvements from stimulusspending. Only half of the funds allocated for stimulus spending had been spent by the first quarter, so this governmentled recovery should continue for several months.

Let’s Talk Stocks

The following are stock specifics on selected holdings of our Fund. Favorable earnings prospects do not necessarilytranslate into higher stock prices, but they do express a positive trend that we believe will develop over time. Individualsecurities mentioned are not necessarily representative of the entire portfolio. The share prices of the following holdingsare stated in U.S. dollars or U.S. dollar equivalent terms as of March 31, 2010.

American Express Co. (AXP - $41.26 - NYSE) is the largest closed-loop credit card company in the world. The companyoperates its eponymous premiere branded payment network and lends to its largely affluent customer base. The company’sstrong consumer brand has allowed American Express to enter the deposit gathering market as an alternate source offunding, and the company’s affluent customers have begun to see slight improvements in spending. Longer term,American Express should capitalize on its higher spending customer base and continue to expand into other paymentrelated businesses, such as corporate purchasing.

Bank of New York Mellon Corp. (BK - $30.88 - NYSE) is a global financial services company with approximately $1.1trillion of assets under management and $22.3 trillion of assets under custody and administration. BNY Mellon providesasset and wealth management, asset servicing, issuer services, clearing and execution services, and treasury services toinstitutions, corporations, and high net worth individuals. The company is the global leader in asset servicing, benefitsfrom cross selling additional services to existing customers, and has leading market share in the global corporate trustbusiness and over 50% market share in the U.S. for broker dealer services. The company’s leadership position and strongoperating track record should fuel continued global growth as it continues to take advantage of recent dislocations infinancial markets.

DIRECTV (DTV - $33.81 - Nasdaq) owns the world’s largest video delivery platform with eighteen million subscribers inthe United States and six million subscribers in Latin America. The company has steadily added subscribers by providinga superior television experience, with a market leading lineup of high definition channels and exclusive programming suchas the NFL SUNDAY TICKET. In November 2009 Liberty Media Entertainment, owner of 57% of DIRECTV’s stock,and non-Liberty holders of DIRECTV combined their stakes into a single new company. We think the recent simplificationof DIRECTV’s ownership structure should facilitate a variety of transactions, including a spin off of its Latin Americanbusiness and an eventual merger with AT&T or Verizon. In the meantime, we expect the company to repurchase its stockaggressively.

E.I. du Pont de Nemours & Co. (DD - $37.24 - NYSE) is positioned to benefit from the improved global economy as wellas the recovery in automotive manufacturing in 2010. The company is experiencing broad based volume gains in acrossits products and geographies, and its agricultural products continue to gain market share. The company has a high dividendyield which we believe is well supported by its cash flow and growth outlook.

Genuine Parts Co. (GPC - $42.24 - NYSE) distributes automotive and industrial replacement parts, office products, andelectrical/electronic materials in the United States, Canada, and Mexico. The Atlanta, GA based company owns andoperates automotive parts distribution centers and automotive parts stores under the NAPA brand. GPC has benefited fromthe current struggles of the original equipment automotive industry as consumers have chosen to service and maintainvehicles for a longer period of time instead of buying new vehicles. With a leading position in the Do-It-For-Me (DIFM)market, GPC’s NAPA stores provide garages and service centers with industry leading parts availability and inventorymanagement. The company has a strong commitment to shareholder value via share repurchases and a steadily increasingdividend.

Johnson & Johnson (JNJ - $65.20 - NYSE) develops, manufactures, and markets pharmaceuticals, medical devices, andconsumer healthcare products. Despite a near term outlook for flat top line and earnings growth, the company’s diverserevenue stream, pipeline of new drugs, and strong management track record give us confidence that the company can growthe top line 5-7% and earnings 8-10% over the next several years. Two of its three largest and most profitable drugs havegone off patent within the last year or two, but JNJ can weather its patent expirations and the weak economy well, takingadvantage of acquisition opportunities and returning to growth in 2010.

Swedish Match AB (SWMA.SS - $23.90 - Stockholm Stock Exchange) produces tobacco products including snus and snuff,chewing tobacco, cigars, and lights. The company benefitted from the growth of the smokeless tobacco market in bothScandinavia and the U.S., as public smoking bans and health concerns are driving consumers to seek alternative tobaccoproducts to cigarettes. In September 2009, the company sold its South African pipe tobacco business to Philip MorrisInternational for about 1.9 billion SEK and is using most of the proceeds to repurchase shares. In January 2010, SwedishMatch announced that it will combine its European and premium cigar portfolios with Scandinavian cigar and pipetobacco company STG, creating a new company that will benefit from enhanced scale and synergies.

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Looking Ahead

At the start of the second quarter the recovery in the economy, engineered by vast government spending and lendingprograms, looks as though it will continue. The most watched statistic is job creation, and on the first day of the secondquarter the jobs report gave support to both the optimistic and the pessimistic view, indicating that we have a fairly stable,if not exactly improving, economy. While there was a little private job creation, fully one third of the 162,000 jobs growthcame from the government’s hiring of census workers, with another 600,000 expected to be added in the next few months.The jobless rate held steady at 9.7%, and the average length of unemployment rose to thirty-one weeks, the highest pointsince record keeping began in 1948.

The issue remains as to whether government led spending would lead to business hiring and spending, and this hasyet to materialize. In the first quarter, with tremendous partisan politics and without broad based support, theadministration passed a comprehensive health care bill. The effects of this bill are unclear and accompanied byunprecedented levels of uncertainty about the government’s plans for future regulation of industry, and taxes. Businessesremain reluctant to spend and hire, as they do not know the cost of their decisions.

Longer term, the very low interest rates of the past year, which have started to bottom out, could begin to climb overthe next year. The Federal Reserve ended its year long $1.25 trillion mortgage-backed securities purchase program onMarch 31, 2010, removing this tremendous purchasing power. This program supported prices – and held down interestrates – in both mortgage-backed securities and in the treasury market. At the moment, there is hope that the resulting risein interest and/or mortgage rates that accompanies the removal of this huge support will be mild and orderly.

The Federal Reserve has said that the tightening cycle is not imminent, stating that it will wait a “long period” beforeit raises short term interest rates and drains the huge surplus it pumped into the financial system over the past year.Inflation is not a concern right now, because with unemployment high, wages and income are expected to rise very slowly,if at all. Therefore, retailers and manufacturers will have a difficult time raising prices. There is both substantial excessproduction capacity and excess labor supply, so it is hard to envision price gains for goods and services in the near future.

The Administration is focused on the November elections and the current anti incumbent environment that threatensits congressional majority. Incumbents are tagged with the weak state of the economy and the high rate of unemployment,and therefore the administration will work to err on the side of low rates, stimulus, and job creation. Down the road, thiswill be a recipe for inflation and/or higher interest rates, but this could take time.

Conclusion

We believe that companies with good businesses, brand franchises, and strong cash generation offer the best valuein this market. We will continue striving to invest the assets entrusted to the Fund in order to participate in the cash flowand earnings of these companies.

Sincerely,

Mario J. Gabelli, CFA Barbara G. Marcin, CFAPortfolio Manager and Portfolio ManagerChief Investment Officer

April 22, 2010

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Note: The views expressed in this Shareholder Commentary reflect those of the Portfolio Managers only throughthe end of the period stated in this Shareholder Commentary. The Portfolio Managers’ views are subject to change at anytime based on market and other conditions. The information in this Portfolio Managers’ Shareholder Commentaryrepresents the opinions of the individual Portfolio Managers and is not intended to be a forecast of future events, aguarantee of future results, or investment advice. Views expressed are those of the Portfolio Managers and may differ fromthose of other portfolio managers or of the Firm as a whole. This Shareholder Commentary does not constitute an offer ofany transaction in any securities. Any recommendation contained herein may not be suitable for all investors. Informationcontained in this Shareholder Commentary has been obtained from sources we believe to be reliable, but cannot beguaranteed.

Portfolio Manager Compensation

Mr. Gabelli’s incentive-based, variable compensation structure and dollar amount have been fully disclosed eachyear since April of 2000 in the annual proxy statement for GAMCO Investors, Inc. (NYSE:GBL). Mr. Gabelli receives nobase salary, no annual bonus, and no stock options.

As founder and portfolio manager of The Gabelli Dividend & Income Trust, Mr. Gabelli received $2,997,712 incalendar year 2009. For the Fund’s first twelve months of operation starting in November 2003, Mr. Gabelli received lessthan $605,000. Mario J. Gabelli and various entities he is deemed to control owned 2,205,474 common shares of the Fundfor a total amount invested of $30,369,374, as of March 31, 2010. Mr. Gabelli may not have pecuniary interest equal to aone hundred percent economic ownership in some of the entities he is deemed to control.

Common Share Repurchase Plan – Share Repurchases Exceed 1.76 Million Shares

On May 12, 2004, the Board of Trustees of the Fund (the “Board”) voted to authorize the repurchase of the Fund’scommon shares in the open market from time to time when such shares are trading at a discount of 7.5% or more fromNAV. Pursuant to this share repurchase plan, the Fund repurchased and retired 173,400 common shares in the first quarterof 2010. In total through March 31, 2010, the Fund has repurchased and retired 1,767,968 common shares in the openmarket under this share repurchase plan at an average cost of $16.59 per share and an average discount of approximately14.3% from its NAV.

Monthly Distribution Policy for Common Shareholders

The Board has reaffirmed the continuation of the Fund’s monthly distribution policy for the second quarter of 2010.Pursuant to its distribution policy, the Fund paid $0.06 per share cash distributions on January 22, 2010, February 19,2010, and March 24, 2010 to common shareholders of record on January 14, 2010, February 11, 2010, and March 17,2010, respectively, for a total distribution of $0.18 per share during the first quarter of 2010.

Under the Fund’s current distribution policy, the Fund pays a distribution of $0.06 per share each month ($0.72 pershare on an annual basis) and, if necessary, an adjusting distribution in December which includes any additional incomeand net realized capital gains in excess of the monthly distributions for that year to satisfy the minimum distributionrequirements of the Internal Revenue Code.

Each quarter, the Board reviews the amount of any potential distribution and the income, capital gain, or capitalavailable. The Board will continue to monitor the Fund’s distribution level, taking into consideration the Fund’s net assetvalue and the financial market environment. The Fund’s distribution policy is subject to modification by the Board at anytime.

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Monthly distributions were implemented to improve shareholder value with the objective of narrowing the discountto NAV of the publicly traded shares on the NYSE. We firmly believe that our shareholders prefer a monthly distributionto a quarterly payment, and that this will help to close the gap between NAV and market price over time. Of course, weare most directly responsible for the NAV because it reflects the performance of the investments that are in the Fund.However, we also know that we have a responsibility to improve shareholder value, and that means using shareholderinitiatives such as the distribution policy to improve the market price when trading at a discount to NAV.

If the Fund does not generate earnings from dividends and interest received and net realized capital gains equal toor in excess of the aggregate distributions paid by the Fund in a given year, then the amount distributed in excess of theFund’s investment income and net realized capital gains would be deemed a non-taxable return of capital. Since this wouldbe considered a return of a portion of a shareholder’s original investment, it is not taxable and is treated as a reduction inthe shareholder’s cost basis. However, despite the challenges of the extra record keeping, a distribution that is occasionallysupplemented with a return of capital serves as a smoothing mechanism resulting in a more stable and consistent cash flowavailable to shareholders. For a closed-end fund with a distribution policy, a return of capital becomes progressively lesslikely with the passage of time because in later years it is more likely that long-term capital gains can be realized andtherefore become available for distribution. A portion of the distribution may be treated as long-term capital gain andqualified dividend income for individuals, each subject to the maximum federal income tax rate, which is currently 15%in taxable accounts for individuals. Long-term capital gains, qualified dividend income, ordinary income, and paid-incapital, if any, will be allocated on a pro-rata basis to all distributions to common shareholders for the year. Based on theaccounting records of the Fund as of March 17, 2010, each of the distributions paid in 2010 would include approximately15% from net investment income, 1% from net capital gains and 84% from paid-in capital. The estimated components ofeach distribution are provided to shareholders of record in a notice accompanying the distribution and are available on ourwebsite (www.gabelli.com). The final determination of the sources of all distributions in 2010 will be made after year endand can vary from the monthly estimates. All shareholders with taxable accounts will receive written notification regardingthe components and tax treatment for all 2010 distributions in early 2011 via Form 1099-DIV.

5.875% Series A Cumulative Preferred Shares

The Fund’s 5.875% Series A Cumulative Preferred Shares paid a $0.3671875 per share cash distribution on March 26, 2010 to preferred shareholders of record on March 19, 2010. The Series A Preferred Shares, which trade on theNYSE under the symbol “GDV Pr A”, are rated “Aaa” by Moody’s Investors Service and have an annual dividend rate of$1.46875 per share. The Series A Preferred Shares were issued on October 12, 2004 at $25.00 per share and paydistributions quarterly. After five years of call protection, the Series A Preferred Shares became callable at any time at theliquidation value of $25.00 per share plus accrued dividends. The next distribution is scheduled for June 2010. The Fundis authorized to purchase its Series A Preferred Shares in the open market from time to time when such shares are tradingat a discount to the liquidation value of $25.00 per share. In total through March 31, 2010, the Fund has repurchased andretired 151,981 Series A Preferred Shares in the open market under this share repurchase authorization. The Fund did notrepurchase any Series A Preferred Shares during the first quarter of 2010.

Series B Auction Market Preferred Shares

The dividend rates for the Series B Auction Market Preferred Shares ranged from 1.458% to 1.484% during the firstquarter of 2010. Dividend rates for the Series B Preferred Shares are cumulative at a rate that may be reset every sevendays based on the results of an auction. Since February 2008, the number of Series B Preferred Shares subject to bid ordersby potential holders has been less than the number of Series B Preferred Shares subject to sell orders. Therefore, the

weekly auctions have failed, and the holders have not been able to sell any or all of the Series B Preferred Shares for whichthey submitted sell orders. The dividend rate since then has been the maximum rate. The current maximum rate is 125basis points greater than the seven day Telerate/British Bankers Association LIBOR on the day of such auction. The SeriesB Preferred Shares do not trade on an exchange. The Series B Preferred Shares are rated “Aaa” by Moody’s InvestorsService and “AAA” by Standard & Poor’s Ratings Services. The Fund issued 4,000 Series B Preferred Shares on October 12, 2004 at $25,000 per share. As of March 31, 2010, 3,600 Series B Preferred Shares were outstanding.

Series C Auction Market Preferred Shares

The dividend rates for the Series C Auction Market Preferred Shares ranged from 1.456% to 1.484% during the firstquarter of 2010. Dividend rates for the Series C Preferred Shares are cumulative at a rate that may be reset every sevendays based on the results of an auction. Since February 2008, the number of Series C Preferred Shares subject to bid ordersby potential holders has been less than the number of Series C Preferred Shares subject to sell orders. Therefore, theweekly auctions have failed, and the holders have not been able to sell any or all of the Series C Preferred Shares for whichthey submitted sell orders. The dividend rate since then has been the maximum rate. The current maximum rate is 125basis points greater than the seven day Telerate/British Bankers Association LIBOR on the day of such auction. The SeriesC Preferred Shares do not trade on an exchange. The Series C Preferred Shares are rated “Aaa” by Moody’s InvestorsService and “AAA” by Standard & Poor’s Ratings Services. The Fund issued 4,800 Series C Preferred Shares on October 12, 2004 at $25,000 per share. As of March 31, 2010, 4,320 Series C Preferred Shares were outstanding.

6.00% Series D Cumulative Preferred Shares

The Fund’s 6.00% Series D Cumulative Preferred Shares paid a $0.375 per share cash distribution on March 26,2010 to preferred shareholders of record on March 19, 2010. The Series D Preferred Shares, which trade on the NYSEunder the symbol “GDV Pr D”, are rated “Aaa” by Moody’s Investors Service and have an annual dividend rate of $1.50per share. The Series D Preferred Shares were issued on November 3, 2005 at $25.00 per share and pay distributionsquarterly. The Series D Preferred Shares will be callable at any time at the liquidation value of $25.00 per share plusaccrued dividends following the expiration of the five year call protection on November 3, 2010. The next distribution isscheduled for June 2010. The Fund is authorized to purchase its Series D Preferred Shares in the open market from timeto time when such shares are trading at a discount to the liquidation value of $25.00 per share. In total through March 31,2010, the Fund has repurchased and retired 57,704 Series D Preferred Shares in the open market under this sharerepurchase authorization. The Fund did not repurchase any Series D Preferred Shares during the first quarter of 2010.

Series E Auction Rate Preferred Shares

The dividend rates for the Series E Auction Rate Preferred Shares ranged from 1.708% to 1.734% during the firstquarter of 2010. Dividend rates for the Series E Preferred Shares are cumulative at a rate that may be reset every sevendays based on the results of an auction. Since February 2008, the number of Series E Preferred Shares subject to bid ordersby potential holders has been less than the number of Series E Preferred Shares subject to sell orders. Therefore, theweekly auctions have failed, and the holders have not been able to sell any or all of the Series E Preferred Shares for whichthey submitted sell orders. The dividend rate since then has been the maximum rate. The current maximum rate is 150basis points greater than the seven day Telerate/British Bankers Association LIBOR on the day of such auction. The SeriesE Preferred Shares do not trade on an exchange. The Series E Preferred Shares are rated “Aaa” by Moody’s InvestorsService and “AAA” by Standard & Poor’s Ratings Services. The Fund issued 5,400 Series E Preferred Shares onNovember 3, 2005 at $25,000 per share. As of March 31, 2010, 4,860 Series E Preferred Shares were outstanding.

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It should be noted that the Investment Adviser does not receive a management fee on the incremental assetsattributable to the Preferred Shares unless the total return of the net asset value of the common shares during the year,including distributions and management fee subject to reduction, exceeds the stated dividend rate or corresponding swaprate of each particular series of Preferred Shares for the fiscal year. The Investment Adviser believes this fee arrangementis in the best interest of all shareholders.

The Board shares the Investment Adviser’s view that the issuance of the Preferred Shares is designed to benefit thecommon shareholders. To the extent that the Fund earns in excess of the dividend rate on the Preferred Shares, additionalvalue will thereby be created for its common shareholders.

A portion of the distributions may be treated as long-term capital gain and qualified dividend income for individuals,each subject to the maximum federal income tax rate, which is currently 15% in taxable accounts for individuals. Long-term capital gains, qualified dividend income, and ordinary income, if any, will be allocated on a pro-rata basis to alldistributions to preferred shareholders for the year. Based on the accounting records of the Fund as of March 17, 2010,each of the distributions paid in 2010 would include approximately 92% from net investment income and 8% from netcapital gains. The estimated components of each distribution are provided to shareholders of record in a noticeaccompanying the distribution and are available on our website (www.gabelli.com). The final determination of the sourcesof all distributions in 2010 will be made after year end and can vary from the quarterly estimates. All shareholders withtaxable accounts will receive written notification regarding the components and tax treatment for all 2010 distributions inearly 2011 via Form 1099-DIV.

www.gabelli.com

Please visit us on the Internet. Our homepage at www.gabelli.com contains information about GAMCO Investors,Inc., the Gabelli/GAMCO Mutual Funds, IRAs, 401(k)s, current and historical quarterly reports, closing prices, and othercurrent news. We welcome your comments and questions via e-mail at [email protected].

You may sign up for our e-mail alerts at www.gabelli.com and receive early notice of quarterly report availability,news events, media sightings, and mutual fund prices and performance.

e-delivery

We are pleased to offer electronic delivery of Gabelli fund documents. Shareholders of our closed-end funds cannow elect to receive e-mail announcements regarding available materials, including shareholder commentaries and fundreports. For more information or to register for e-delivery, please visit our website at www.gabelli.com.

Top Ten HoldingsMarch 31, 2010

Verizon Communications Inc.Swedish Match ABKraft Foods Inc.JPMorgan Chase & Co.Intel Corp.

Occidental Petroleum Corp.General Mills Inc.Sara Lee Corp.NSTARStatoilHydro ASA

TrusteesMario J. Gabelli, CFA

Chairman & Chief Executive Officer,GAMCO Investors, Inc.

Anthony J. ColavitaPresident,Anthony J. Colavita, P.C.

James P. ConnFormer Managing Director & Chief Investment Officer,Financial Security Assurance Holdings Ltd.

Mario d’UrsoFormer Italian Senator

Frank J. Fahrenkopf, Jr.President & Chief Executive Officer,American Gaming Association

Michael J. MelarkeyAttorney-at-Law,Avansino, Melarkey, Knobel & Mulligan

Salvatore M. SalibelloCertified Public Accountant, Salibello & Broder, LLP

Edward T. TokarSenior Managing Director,Beacon Trust Company

Anthonie C. van EkrisChairman, BALMAC International, Inc.

Salvatore J. ZizzaChairman, Zizza & Co., Ltd.

OfficersBruce N. Alpert

President & Acting Treasurer

Carter W. AustinVice President

Peter D. GoldsteinChief Compliance Officer & Acting Secretary

Agnes Mullady*Treasurer & Secretary

Investment AdviserGabelli Funds, LLCOne Corporate CenterRye, New York 10580-1422

CustodianState Street Bank and Trust Company

CounselSkadden, Arps, Slate, Meagher & Flom LLP

Transfer Agent and RegistrarComputershare Trust Company, N.A.

Stock Exchange Listing5.875% 6.00%

Common Preferred PreferredNYSE–Symbol: GDV GDV PrA GDV PrDShares Outstanding: 83,315,237 3,048,019 2,542,296

TRUSTEES AND OFFICERSTHE GABELLI DIVIDEND & INCOME TRUST

One Corporate Center, Rye, NY 10580-1422

For general information about the Gabelli Funds, call 800-GABELLI (800-422-3554), fax us at 914-921-5118, visit Gabelli Funds’Internet homepage at: www.gabelli.com, or e-mail us at: [email protected]

Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that the Fund may,from time to time, purchase its common shares in the open market when the Fund’s shares are trading at a discount of 7.5% or morefrom the net asset value of the shares. The Fund may also, from time to time, purchase its preferred shares in the open market whenthe preferred shares are trading at a discount to the liquidation value.

*Agnes Mullady is on a leave of absence for a limited period of time.

The Net Asset Value per share appears in the Publicly Traded Funds column, under the heading “General Equity Funds,” in Monday’s The Wall Street Journal. It is also listed in Barron’s Mutual Funds/Closed End Funds sectionunder the heading “General Equity Funds.”

The Net Asset Value per share may be obtained each day by calling (914) 921-5070 or visiting www.gabelli.com.

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Shareholder Com

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March 31, 2010G

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Mar/2010

To Our Shareholders,

The Gabelli Dividend & Income Trust’s (the “Fund”) net asset value (“NAV”) total return was 4.5% during the firstquarter of 2010, compared with increases of 5.4%, 4.8%, and 5.7% for the Standard & Poor’s (“S&P”) 500 Index, the DowJones Industrial Average, and the Nasdaq Composite Index, respectively. The total return for the Fund’s publicly tradedshares was 6.5% during the first quarter.

Enclosed is the investment portfolio as of March 31, 2010.

The Gabelli Dividend &Income TrustFirst Quarter Report

March 31, 2010

Average Annual Returns through March 31, 2010 (a) (Unaudited)Since

InceptionQuarter 1 Year 3 Year 5 Year (11/28/03)

Gabelli Dividend & Income TrustNAV Total Return (b) . . . . . . . . . . . . . . . . . . . . . . . 4.48% 71.19% (5.83)% 2.58% 4.11%Investment Total Return (c) . . . . . . . . . . . . . . . . . . 6.47 77.46 (5.93) 2.88 1.81

S&P 500 Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.39 49.73 (4.16) 1.92 3.66Dow Jones Industrial Average . . . . . . . . . . . . . . . . . . . 4.81 46.87 (1.48) 3.33 4.27Nasdaq Composite Index . . . . . . . . . . . . . . . . . . . . . . . 5.68 56.87 (0.33) 3.70 3.23

(a) Returns represent past performance and do not guarantee future results. Investment returns and the principal value of aninvestment will fluctuate. When shares are sold, they may be worth more or less than their original cost. Current performance maybe lower or higher than the performance data presented. Visit www.gabelli.com for performance information as of the most recentmonth end. Performance returns for periods of less than one year are not annualized. Investors should carefully consider theinvestment objectives, risks, charges, and expenses of the Fund before investing. The Dow Jones Industrial Average is anunmanaged index of 30 large capitalization stocks. The S&P 500 and the Nasdaq Composite Indices are unmanaged indicatorsof stock market performance. Dividends are considered reinvested except for the Nasdaq Composite Index. You cannot investdirectly in an index.

(b) Total returns and average annual returns reflect changes in the NAV per share and reinvestment of distributions at NAV on the ex-dividend date and are net of expenses. Since inception return is based on an initial NAV of $19.06.

(c) Total returns and average annual returns reflect changes in closing market values on the New York Stock Exchange andreinvestment of distributions. Since inception return is based on an initial offering price of $20.00.

Comparative Results

We have separated the portfolio managers’ commentary from the financial statements and investment portfolio due to corporategovernance regulations stipulated by the Sarbanes-Oxley Act of 2002. We have done this to ensure that the content of the portfoliomanagers’ commentary is unrestricted. The financial statements and investment portfolio are mailed separately from the commentary. Boththe commentary and the financial statements, including the portfolio of investments, will be available on our website at www.gabelli.com.

Barbara G. Marcin, CFAMario J. Gabelli, CFA

2

See accompanying notes to schedule of investments.

THE GABELLI DIVIDEND & INCOME TRUSTSCHEDULE OF INVESTMENTS

March 31, 2010 (Unaudited)Market

Shares Value——––— ————

MarketShares Value——––— ————

COMMON STOCKS — 91.0%Aerospace — 1.9%

10,000 Goodrich Corp. . . . . . . . . . . . . . . . . . . $ 705,20040,000 Kaman Corp. . . . . . . . . . . . . . . . . . . . . 1,000,400

164,000 Rockwell Automation Inc. . . . . . . . . . . 9,243,0402,000,000 Rolls-Royce Group plc† . . . . . . . . . . . 18,073,389

77,000 The Boeing Co. . . . . . . . . . . . . . . . . . . 5,590,970---------------------------------------------

34,612,999---------------------------------------------

Agriculture — 0.2%105,000 Archer-Daniels-Midland Co. . . . . . . . . 3,034,500

2,000 Terra Industries Inc. . . . . . . . . . . . . . . . 91,520---------------------------------------------

3,126,020---------------------------------------------

Automotive — 0.0%20,000 Navistar International Corp.† . . . . . . . 894,600

---------------------------------------------Automotive: Parts and Accessories — 0.9%

30,000 BorgWarner Inc.† . . . . . . . . . . . . . . . . . 1,145,400370,000 Genuine Parts Co. . . . . . . . . . . . . . . . . 15,628,800

---------------------------------------------16,774,200

---------------------------------------------Building and Construction — 0.0%

15,000 Layne Christensen Co.† . . . . . . . . . . . . 400,650---------------------------------------------

Business Services — 0.8%180,000 Diebold Inc. . . . . . . . . . . . . . . . . . . . . . 5,716,800120,000 Intermec Inc.† . . . . . . . . . . . . . . . . . . . 1,701,60034,000 Lender Processing Services Inc. . . . . . 1,283,50020,000 MasterCard Inc., Cl. A . . . . . . . . . . . . . 5,080,00018,000 PHH Corp.† . . . . . . . . . . . . . . . . . . . . . 424,2608,000 Rewards Network Inc. . . . . . . . . . . . . . 107,200

186,600 Trans-Lux Corp.† (a) . . . . . . . . . . . . . . 158,610---------------------------------------------

14,471,970---------------------------------------------

Cable and Satellite — 2.3%580,000 Cablevision Systems Corp., Cl. A . . . . 14,001,20016,000 Cogeco Inc. . . . . . . . . . . . . . . . . . . . . . 530,104

315,000 DIRECTV, Cl. A† . . . . . . . . . . . . . . . . 10,650,150235,000 DISH Network Corp., Cl. A . . . . . . . . 4,892,70050,000 EchoStar Corp., Cl. A† . . . . . . . . . . . . 1,014,00080,000 Liberty Global Inc., Cl. A† . . . . . . . . . 2,332,80033,000 Liberty Global Inc., Cl. C† . . . . . . . . . 953,370

180,000 Rogers Communications Inc., Cl. B . . 6,143,40020,000 Zon Multimedia Servicos de

Telecomunicacoes e Multimedia SGPS SA . . . . . . . . . . . . . . . . . . . . . 102,542

---------------------------------------------40,620,266

---------------------------------------------

Communications Equipment — 0.1%30,000 Thomas & Betts Corp.† . . . . . . . . . . . . $ 1,177,200

---------------------------------------------Computer Hardware — 0.1%

30,000 SanDisk Corp.† . . . . . . . . . . . . . . . . . . 1,038,900---------------------------------------------

Computer Software and Services — 0.2%60,000 Microsoft Corp. . . . . . . . . . . . . . . . . . . 1,756,20095,000 Yahoo! Inc.† . . . . . . . . . . . . . . . . . . . . . 1,570,350

---------------------------------------------3,326,550

---------------------------------------------Consumer Products — 3.7%

185,000 Alberto-Culver Co. . . . . . . . . . . . . . . . 4,837,75020,000 Altria Group Inc. . . . . . . . . . . . . . . . . . 410,40050,000 Avon Products Inc. . . . . . . . . . . . . . . . . 1,693,500

440,000 Eastman Kodak Co.† . . . . . . . . . . . . . . 2,547,60085,000 Fortune Brands Inc. . . . . . . . . . . . . . . . 4,123,35050,000 Hanesbrands Inc.† . . . . . . . . . . . . . . . . 1,391,00076,000 Harman International Industries Inc.† . . 3,555,280

200,000 Kimberly-Clark Corp. . . . . . . . . . . . . . 12,576,00025,000 Philip Morris International Inc. . . . . . . 1,304,000

1,000,000 Swedish Match AB . . . . . . . . . . . . . . . 23,903,831160,000 The Procter & Gamble Co. . . . . . . . . . 10,123,200

---------------------------------------------66,465,911

---------------------------------------------Diversified Industrial — 3.5%

100,000 Bouygues SA . . . . . . . . . . . . . . . . . . . . 5,027,148166,000 Cooper Industries plc . . . . . . . . . . . . . . 7,958,040490,000 General Electric Co. . . . . . . . . . . . . . . . 8,918,000280,000 Honeywell International Inc. . . . . . . . . 12,675,60095,000 ITT Corp. . . . . . . . . . . . . . . . . . . . . . . . 5,092,950

130,000 Owens-Illinois Inc.† . . . . . . . . . . . . . . . 4,620,2001,000 Sulzer AG . . . . . . . . . . . . . . . . . . . . . . . 97,212

300,000 Textron Inc. . . . . . . . . . . . . . . . . . . . . . 6,369,000950,000 Tomkins plc . . . . . . . . . . . . . . . . . . . . . 3,402,228225,000 Tyco International Ltd. . . . . . . . . . . . . 8,606,250100,000 WHX Corp.† . . . . . . . . . . . . . . . . . . . . 242,000

---------------------------------------------63,008,628

---------------------------------------------Electronics — 1.5%

960,000 Intel Corp. . . . . . . . . . . . . . . . . . . . . . . 21,369,600185,000 Tyco Electronics Ltd. . . . . . . . . . . . . . . 5,083,800

---------------------------------------------26,453,400

---------------------------------------------

3


COMMON STOCKS (Continued)Energy and Utilities: Electric — 5.2%

40,000 Allegheny Energy Inc. . . . . . . . . . . . . . $ 920,00085,000 ALLETE Inc. . . . . . . . . . . . . . . . . . . . . 2,845,800

240,000 American Electric Power Co. Inc. . . . . 8,203,200720 Brookfield Infrastructure Partners LP . . 12,665

315,000 DPL Inc. . . . . . . . . . . . . . . . . . . . . . . . . 8,564,85033,000 Edison International . . . . . . . . . . . . . . . 1,127,610

270,000 Electric Power Development Co. Ltd. 8,895,069220,000 FPL Group Inc. . . . . . . . . . . . . . . . . . . 10,632,600740,000 Great Plains Energy Inc. . . . . . . . . . . . 13,741,800365,000 Integrys Energy Group Inc. . . . . . . . . . 17,293,700105,000 Pepco Holdings Inc. . . . . . . . . . . . . . . . 1,800,750230,000 Pinnacle West Capital Corp. . . . . . . . . 8,677,900100,000 The Southern Co. . . . . . . . . . . . . . . . . . 3,316,000222,000 UniSource Energy Corp. . . . . . . . . . . . 6,979,680

---------------------------------------------93,011,624

---------------------------------------------Energy and Utilities: Integrated — 9.5%

12,000 Alliant Energy Corp. . . . . . . . . . . . . . . 399,120140,000 Ameren Corp. . . . . . . . . . . . . . . . . . . . . 3,651,20050,000 Avista Corp. . . . . . . . . . . . . . . . . . . . . . 1,035,50055,000 Black Hills Corp. . . . . . . . . . . . . . . . . . 1,669,25040,000 CH Energy Group Inc. . . . . . . . . . . . . . 1,633,600

108,000 Chubu Electric Power Co. Inc. . . . . . . 2,699,711150,000 CONSOL Energy Inc. . . . . . . . . . . . . . 6,399,000188,000 Consolidated Edison Inc. . . . . . . . . . . . 8,373,52070,000 Dominion Resources Inc. . . . . . . . . . . . 2,877,700

160,000 Duke Energy Corp. . . . . . . . . . . . . . . . 2,611,200430,000 Edison SpA . . . . . . . . . . . . . . . . . . . . . 655,123630,000 El Paso Corp. . . . . . . . . . . . . . . . . . . . . 6,829,200112,000 Endesa SA . . . . . . . . . . . . . . . . . . . . . . 3,200,951450,000 Enel SpA . . . . . . . . . . . . . . . . . . . . . . . 2,516,27560,000 Exelon Corp. . . . . . . . . . . . . . . . . . . . . 2,628,600

135,000 FirstEnergy Corp. . . . . . . . . . . . . . . . . . 5,277,150116,000 Hawaiian Electric Industries Inc. . . . . . 2,604,200250,000 Hera SpA . . . . . . . . . . . . . . . . . . . . . . . 587,874121,500 Hokkaido Electric Power Co. Inc. . . . . 2,331,490121,500 Hokuriku Electric Power Co. . . . . . . . . 2,671,986

8,000 Iberdrola SA . . . . . . . . . . . . . . . . . . . . . 67,803100,000 Iberdrola SA, ADR . . . . . . . . . . . . . . . 3,385,00085,000 Korea Electric Power Corp., ADR† . . 1,380,400

121,500 Kyushu Electric Power Co. Inc. . . . . . 2,644,69522,000 Maine & Maritimes Corp. . . . . . . . . . . 965,80072,000 MGE Energy Inc. . . . . . . . . . . . . . . . . . 2,545,92035,102 National Grid plc, ADR . . . . . . . . . . . . 1,711,223

240,000 NiSource Inc. . . . . . . . . . . . . . . . . . . . . 3,792,000530,000 NSTAR . . . . . . . . . . . . . . . . . . . . . . . . . 18,772,600

416,000 OGE Energy Corp. . . . . . . . . . . . . . . . . $ 16,199,04030,000 Ormat Technologies Inc. . . . . . . . . . . . 844,200

300,000 Progress Energy Inc. . . . . . . . . . . . . . . 11,808,000280,000 Public Service Enterprise Group Inc. . . 8,265,600121,500 Shikoku Electric Power Co. Inc. . . . . . 3,442,65215,000 TECO Energy Inc. . . . . . . . . . . . . . . . . 238,350

121,500 The Chugoku Electric Power Co. Inc. 2,414,66550,000 The Empire District Electric Co. . . . . . 901,000

121,500 The Kansai Electric Power Co. Inc. . . 2,783,752108,000 The Tokyo Electric Power Co. Inc. . . . 2,878,768121,500 Tohoku Electric Power Co. Inc. . . . . . . 2,568,018200,000 Vectren Corp. . . . . . . . . . . . . . . . . . . . . 4,944,000455,000 Westar Energy Inc. . . . . . . . . . . . . . . . . 10,146,50085,000 Wisconsin Energy Corp. . . . . . . . . . . . 4,199,850

160,000 Xcel Energy Inc. . . . . . . . . . . . . . . . . . 3,392,000---------------------------------------------

170,944,486---------------------------------------------

Energy and Utilities: Natural Gas — 4.1%28,000 Atmos Energy Corp. . . . . . . . . . . . . . . 799,96022,000 Delta Natural Gas Co. Inc. . . . . . . . . . 652,9606,000 Energen Corp. . . . . . . . . . . . . . . . . . . . 279,180

160,356 GDF Suez, Strips . . . . . . . . . . . . . . . . . 21720,000 Kinder Morgan Energy Partners LP . . 1,308,400

350,000 National Fuel Gas Co. . . . . . . . . . . . . . 17,692,500200,000 Nicor Inc. . . . . . . . . . . . . . . . . . . . . . . . 8,384,000212,000 ONEOK Inc. . . . . . . . . . . . . . . . . . . . . 9,677,800188,000 Sempra Energy . . . . . . . . . . . . . . . . . . . 9,381,20035,000 South Jersey Industries Inc. . . . . . . . . . 1,469,650

140,000 Southern Union Co. . . . . . . . . . . . . . . . 3,551,800190,000 Southwest Gas Corp. . . . . . . . . . . . . . . 5,684,800610,000 Spectra Energy Corp. . . . . . . . . . . . . . . 13,743,30043,000 The Laclede Group Inc. . . . . . . . . . . . . 1,449,960

---------------------------------------------74,075,727

---------------------------------------------Energy and Utilities: Oil — 10.3%

44,000 Anadarko Petroleum Corp. . . . . . . . . . 3,204,52037,000 Apache Corp. . . . . . . . . . . . . . . . . . . . . 3,755,50044,000 BG Group plc, ADR . . . . . . . . . . . . . . 3,817,000

160,000 BP plc, ADR . . . . . . . . . . . . . . . . . . . . 9,131,20080,000 Chesapeake Energy Corp. . . . . . . . . . . 1,891,200

225,000 Chevron Corp. . . . . . . . . . . . . . . . . . . . 17,061,750318,000 ConocoPhillips . . . . . . . . . . . . . . . . . . . 16,272,06078,000 Devon Energy Corp. . . . . . . . . . . . . . . 5,025,540

168,000 Eni SpA, ADR . . . . . . . . . . . . . . . . . . . 7,884,240205,000 Exxon Mobil Corp. . . . . . . . . . . . . . . . 13,730,90036,000 Hess Corp. . . . . . . . . . . . . . . . . . . . . . . 2,251,800

470,000 Marathon Oil Corp. . . . . . . . . . . . . . . . 14,870,800136,000 Murphy Oil Corp. . . . . . . . . . . . . . . . . 7,641,840

THE GABELLI DIVIDEND & INCOME TRUSTSCHEDULE OF INVESTMENTS (Continued)




4






COMMON STOCKS (Continued)Energy and Utilities: Oil (Continued)

245,000 Occidental Petroleum Corp. . . . . . . . . . $ 20,712,30016,000 PetroChina Co. Ltd., ADR . . . . . . . . . . 1,875,520

100,000 Petroleo Brasileiro SA, ADR . . . . . . . . 4,449,000270,000 Repsol YPF SA, ADR . . . . . . . . . . . . . 6,420,600185,000 Royal Dutch Shell plc, Cl. A, ADR . . 10,704,100800,000 Statoil ASA, ADR . . . . . . . . . . . . . . . . 18,664,000165,000 Sunoco Inc. . . . . . . . . . . . . . . . . . . . . . 4,902,150185,000 Total SA, ADR . . . . . . . . . . . . . . . . . . . 10,733,700

---------------------------------------------184,999,720

---------------------------------------------Energy and Utilities: Services — 3.5%

210,000 ABB Ltd., ADR . . . . . . . . . . . . . . . . . . 4,586,40074,000 Cameron International Corp.† . . . . . . . 3,171,640

102,000 Diamond Offshore Drilling Inc. . . . . . 9,058,620550,000 Halliburton Co. . . . . . . . . . . . . . . . . . . 16,571,500

5,000 Nabors Industries Ltd.† . . . . . . . . . . . . 98,15010,000 Noble Corp. . . . . . . . . . . . . . . . . . . . . . 418,20038,000 Oceaneering International Inc.† . . . . . . 2,412,620

195,000 Rowan Companies Inc.† . . . . . . . . . . . 5,676,450120,000 Schlumberger Ltd. . . . . . . . . . . . . . . . . 7,615,20046,000 Transocean Ltd.† . . . . . . . . . . . . . . . . . 3,973,480

650,000 Weatherford International Ltd.† . . . . . 10,309,000---------------------------------------------

63,891,260---------------------------------------------

Energy and Utilities: Water — 0.8%11,000 American States Water Co. . . . . . . . . . 381,700

365,000 American Water Works Co. Inc. . . . . . 7,942,40072,033 Aqua America Inc. . . . . . . . . . . . . . . . . 1,265,6206,000 Artesian Resources Corp., Cl. A . . . . . 105,9603,000 California Water Service Group . . . . . 112,830

11,500 Connecticut Water Service Inc. . . . . . . 267,6052,000 Consolidated Water Co. Ltd. . . . . . . . . 27,1606,000 Middlesex Water Co. . . . . . . . . . . . . . . 102,300

60,000 Pennichuck Corp. . . . . . . . . . . . . . . . . . 1,410,60090,000 SJW Corp. . . . . . . . . . . . . . . . . . . . . . . 2,287,80025,000 Southwest Water Co. . . . . . . . . . . . . . . 261,0009,000 The York Water Co. . . . . . . . . . . . . . . . 123,750

25,000 United Utilities Group plc, ADR . . . . . 423,000---------------------------------------------

14,711,725---------------------------------------------

Entertainment — 1.0%8,000 Grupo Televisa SA, ADR . . . . . . . . . . 168,160

126,600 Madison Square Garden Inc., Cl. A† . . 2,751,018270,000 Take-Two Interactive Software Inc.† . . 2,659,500200,000 Time Warner Inc. . . . . . . . . . . . . . . . . . 6,254,000210,000 Vivendi . . . . . . . . . . . . . . . . . . . . . . . . . 5,620,290

---------------------------------------------17,452,968

---------------------------------------------

Environmental Services — 0.7%1,250 Suez Environnement Co. SA . . . . . . . . $ 28,769

12,375 Veolia Environnement . . . . . . . . . . . . . 429,226350,000 Waste Management Inc. . . . . . . . . . . . . 12,050,500

---------------------------------------------12,508,495

---------------------------------------------

Equipment and Supplies — 1.2%95,000 CIRCOR International Inc. . . . . . . . . . 3,154,95028,500 Lufkin Industries Inc. . . . . . . . . . . . . . . 2,255,77565,000 Mueller Industries Inc. . . . . . . . . . . . . . 1,741,350

420,000 RPC Inc. . . . . . . . . . . . . . . . . . . . . . . . . 4,674,600215,000 Tenaris SA, ADR . . . . . . . . . . . . . . . . . 9,232,100100,000 Xerox Corp. . . . . . . . . . . . . . . . . . . . . . 975,000

---------------------------------------------22,033,775

---------------------------------------------Financial Services — 12.3%

168,000 Aflac Inc. . . . . . . . . . . . . . . . . . . . . . . . 9,120,72080,000 AllianceBernstein Holding LP . . . . . . . 2,452,800

450,000 American Express Co. . . . . . . . . . . . . . 18,567,00050,000 Artio Global Investors Inc. . . . . . . . . . 1,237,00010,000 Astoria Financial Corp. . . . . . . . . . . . . 145,000

590,000 Bank of America Corp. . . . . . . . . . . . . 10,531,50023,000 BlackRock Inc. . . . . . . . . . . . . . . . . . . . 5,008,480

1,500,000 Citigroup Inc.† . . . . . . . . . . . . . . . . . . . 6,075,00018,000 CME Group Inc. . . . . . . . . . . . . . . . . . 5,689,98097,000 Deutsche Bank AG . . . . . . . . . . . . . . . 7,456,390

470,000 Discover Financial Services . . . . . . . . . 7,003,00078,909 Fidelity National Financial Inc., Cl. A 1,169,431

210,000 Fidelity National Information Services Inc. . . . . . . . . . . . . . . . . . . . 4,922,400

60,000 HSBC Holdings plc, ADR . . . . . . . . . . 3,041,40090,000 Hudson City Bancorp Inc. . . . . . . . . . . 1,274,400

125,000 Invesco Ltd. . . . . . . . . . . . . . . . . . . . . . 2,738,750485,000 JPMorgan Chase & Co. . . . . . . . . . . . . 21,703,750260,000 Legg Mason Inc. . . . . . . . . . . . . . . . . . 7,454,20040,000 M&T Bank Corp. . . . . . . . . . . . . . . . . . 3,175,20080,000 Moody’s Corp. . . . . . . . . . . . . . . . . . . . 2,380,000

110,000 Morgan Stanley . . . . . . . . . . . . . . . . . . 3,221,90095,000 National Australia Bank Ltd., ADR . . 2,394,950

180,000 New York Community Bancorp Inc. . . 2,977,200250,000 NewAlliance Bancshares Inc. . . . . . . . 3,155,000210,000 PNC Financial Services Group Inc. . . . 12,537,000230,000 SLM Corp.† . . . . . . . . . . . . . . . . . . . . . 2,879,60046,000 State Street Corp. . . . . . . . . . . . . . . . . . 2,076,440

130,000 T. Rowe Price Group Inc. . . . . . . . . . . 7,140,900420,000 The Bank of New York Mellon Corp. . . 12,969,60075,000 The Blackstone Group LP . . . . . . . . . . 1,050,000

290,000 The Travelers Companies Inc. . . . . . . . 15,642,600375,000 Waddell & Reed Financial Inc., Cl. A 13,515,00010,000 Webster Financial Corp. . . . . . . . . . . . 174,900

5


COMMON STOCKS (Continued)Financial Services (Continued)

530,000 Wells Fargo & Co. . . . . . . . . . . . . . . . . $ 16,493,60019,260 Willis Group Holdings plc . . . . . . . . . . 602,645

170,000 Wilmington Trust Corp. . . . . . . . . . . . . 2,816,900---------------------------------------------

220,794,636---------------------------------------------

Food and Beverage — 10.5%90,000 Campbell Soup Co. . . . . . . . . . . . . . . . 3,181,500

350,000 China Mengniu Dairy Co. Ltd.† . . . . . 1,090,897235,000 ConAgra Foods Inc. . . . . . . . . . . . . . . . 5,891,450126,000 Constellation Brands Inc., Cl. A† . . . . 2,071,440300,082 Danone . . . . . . . . . . . . . . . . . . . . . . . . . 18,076,741950,000 Davide Campari - Milano SpA . . . . . . 10,155,933270,000 Dr. Pepper Snapple Group Inc. . . . . . . 9,495,900275,000 General Mills Inc. . . . . . . . . . . . . . . . . 19,467,25085,000 H.J. Heinz Co. . . . . . . . . . . . . . . . . . . . 3,876,850

210,000 ITO EN Ltd. . . . . . . . . . . . . . . . . . . . . . 3,250,29420,000 ITO EN Ltd., Preference . . . . . . . . . . . 215,8521,000 Kellogg Co. . . . . . . . . . . . . . . . . . . . . . 53,430

240,000 Kikkoman Corp. . . . . . . . . . . . . . . . . . . 2,808,429750,000 Kraft Foods Inc., Cl. A . . . . . . . . . . . . 22,680,000150,000 Morinaga Milk Industry Co. Ltd. . . . . 590,437200,000 NISSIN FOODS HOLDINGS CO. LTD. 6,727,992

1,100,000 Parmalat SpA . . . . . . . . . . . . . . . . . . . . 3,012,304339,450 Parmalat SpA, GDR (b)(c) . . . . . . . . . 931,24762,289 PepsiCo Inc. . . . . . . . . . . . . . . . . . . . . . 4,121,04074,000 Pernod-Ricard SA . . . . . . . . . . . . . . . . 6,283,77319,000 Remy Cointreau SA . . . . . . . . . . . . . . . 981,591

1,370,000 Sara Lee Corp. . . . . . . . . . . . . . . . . . . . 19,084,100310,000 The Coca-Cola Co. . . . . . . . . . . . . . . . 17,050,000370,000 The Hershey Co. . . . . . . . . . . . . . . . . . 15,839,700450,000 YAKULT HONSHA Co. Ltd. . . . . . . . 12,139,266

---------------------------------------------189,077,416

---------------------------------------------Health Care — 3.6%

22,000 Abbott Laboratories . . . . . . . . . . . . . . . 1,158,960300,000 Boston Scientific Corp.† . . . . . . . . . . . 2,166,000160,000 Bristol-Myers Squibb Co. . . . . . . . . . . 4,272,00075,000 Covidien plc . . . . . . . . . . . . . . . . . . . . . 3,771,000

140,000 Eli Lilly & Co. . . . . . . . . . . . . . . . . . . . 5,070,8005,000 Facet Biotech Corp.† . . . . . . . . . . . . . . 134,9506,000 Fresenius Kabi Pharmaceuticals

Holding Inc., CVR† . . . . . . . . . . . . . 90050,000 Johnson & Johnson . . . . . . . . . . . . . . . 3,260,00070,000 Mead Johnson Nutrition Co. . . . . . . . . 3,642,100

160,000 Merck & Co. Inc. . . . . . . . . . . . . . . . . . 5,976,000107,000 Millipore Corp.† . . . . . . . . . . . . . . . . . 11,299,20075,000 Owens & Minor Inc. . . . . . . . . . . . . . . 3,479,250

720,000 Pfizer Inc. . . . . . . . . . . . . . . . . . . . . . . . 12,348,00026,000 Schiff Nutrition International Inc. . . . . 212,680

40,000 St. Jude Medical Inc.† . . . . . . . . . . . . . $ 1,642,00060,000 Watson Pharmaceuticals Inc.† . . . . . . . 2,506,20077,000 Zimmer Holdings Inc.† . . . . . . . . . . . . 4,558,400

---------------------------------------------65,498,440

---------------------------------------------Hotels and Gaming — 0.3%

90,000 Boyd Gaming Corp.† . . . . . . . . . . . . . . 889,200900,000 Ladbrokes plc . . . . . . . . . . . . . . . . . . . . 2,171,53860,000 Las Vegas Sands Corp.† . . . . . . . . . . . 1,269,00020,000 Pinnacle Entertainment Inc.† . . . . . . . . 194,800

---------------------------------------------4,524,538

---------------------------------------------Machinery — 0.6%

214,500 CNH Global NV† . . . . . . . . . . . . . . . . 6,595,87570,000 Deere & Co. . . . . . . . . . . . . . . . . . . . . . 4,162,200

---------------------------------------------10,758,075

---------------------------------------------Manufactured Housing and Recreational Vehicles — 0.0%

18,000 Skyline Corp. . . . . . . . . . . . . . . . . . . . . 334,800---------------------------------------------

Metals and Mining — 1.0%16,000 Agnico-Eagle Mines Ltd. . . . . . . . . . . . 890,720

300,000 Alcoa Inc. . . . . . . . . . . . . . . . . . . . . . . . 4,272,00020,000 Alliance Holdings GP LP . . . . . . . . . . 645,2006,000 Arch Coal Inc. . . . . . . . . . . . . . . . . . . . 137,1008,000 BHP Billiton Ltd., ADR . . . . . . . . . . . 642,560

125,000 Freeport-McMoRan Copper & Gold Inc. 10,442,50010,000 Massey Energy Co. . . . . . . . . . . . . . . . 522,90025,000 Peabody Energy Corp. . . . . . . . . . . . . . 1,142,500

---------------------------------------------18,695,480

---------------------------------------------Paper and Forest Products — 0.5%

400,000 International Paper Co. . . . . . . . . . . . . 9,844,000---------------------------------------------

Publishing — 0.1%1,000,000 Il Sole 24 Ore . . . . . . . . . . . . . . . . . . . . 2,323,131

---------------------------------------------Real Estate — 0.0%

18,000 Brookfield Asset Management Inc., Cl. A . . . . . . . . . . . . . . . . . . . . . . . . . 457,560

---------------------------------------------Retail — 2.5%

235,000 CVS Caremark Corp. . . . . . . . . . . . . . . 8,591,600142,000 Ingles Markets Inc., Cl. A . . . . . . . . . . 2,134,260105,000 Macy’s Inc. . . . . . . . . . . . . . . . . . . . . . . 2,285,850400,000 Safeway Inc. . . . . . . . . . . . . . . . . . . . . . 9,944,000300,000 Sally Beauty Holdings Inc.† . . . . . . . . 2,676,00048,000 SUPERVALU Inc. . . . . . . . . . . . . . . . . 800,640

120,000 The Great Atlantic & Pacific Tea Co. Inc.† . . . . . . . . . . . . 920,400

35,000 Wal-Mart Stores Inc. . . . . . . . . . . . . . . 1,946,000





6


COMMON STOCKS (Continued)Retail (Continued)

360,000 Walgreen Co. . . . . . . . . . . . . . . . . . . . . $ 13,352,40075,000 Whole Foods Market Inc.† . . . . . . . . . 2,711,250

---------------------------------------------45,362,400

---------------------------------------------Specialty Chemicals — 1.3%

1,000 Airgas Inc. . . . . . . . . . . . . . . . . . . . . . . 63,6205,000 Arkema, ADR . . . . . . . . . . . . . . . . . . . 185,444

104,000 Ashland Inc. . . . . . . . . . . . . . . . . . . . . . 5,488,080158,000 E. I. du Pont de Nemours and Co. . . . . 5,883,920390,000 Ferro Corp.† . . . . . . . . . . . . . . . . . . . . . 3,428,100100,000 Olin Corp. . . . . . . . . . . . . . . . . . . . . . . 1,962,000195,000 The Dow Chemical Co. . . . . . . . . . . . . 5,766,150

---------------------------------------------22,777,314

---------------------------------------------Telecommunications — 6.0%

610,000 AT&T Inc. . . . . . . . . . . . . . . . . . . . . . . 15,762,400275,000 BCE Inc. . . . . . . . . . . . . . . . . . . . . . . . . 8,071,25030,000 Belgacom SA . . . . . . . . . . . . . . . . . . . . 1,171,83145,000 Bell Aliant Regional Communications

Income Fund (c)(d) . . . . . . . . . . . . . 1,125,83135,000 BT Group plc, ADR . . . . . . . . . . . . . . . 654,85025,000 CenturyTel Inc. . . . . . . . . . . . . . . . . . . 886,500

680,000 Deutsche Telekom AG, ADR . . . . . . . 9,180,00055,000 France Telecom SA, ADR . . . . . . . . . . 1,321,6507,800 GVT Holding SA† . . . . . . . . . . . . . . . . 252,858

31,700 Hellenic Telecommunications Organization SA . . . . . . . . . . . . . . . . 393,478

219,800 Hellenic Telecommunications Organization SA, ADR . . . . . . . . . . 1,380,344

215,000 Portugal Telecom SGPS SA . . . . . . . . 2,403,860300,000 Qwest Communications International Inc. 1,566,000

2,270,000 Sprint Nextel Corp.† . . . . . . . . . . . . . . 8,626,000100,000 Tandberg ASA . . . . . . . . . . . . . . . . . . . 2,851,999

6,000 Telecom Corp. of New Zealand Ltd., ADR . . . . . . . . . 46,320

70,000 Telecom Italia SpA, ADR . . . . . . . . . . 1,003,80015,000 Telefonica SA, ADR . . . . . . . . . . . . . . 1,066,500

165,000 Telefonos de Mexico SAB de CV, Cl. L, ADR . . . . . . . . . . . . . . . . . . . . 2,574,000

110,000 Telekom Austria AG . . . . . . . . . . . . . . 1,537,72438,000 Telephone & Data Systems Inc. . . . . . 1,286,300

100,000 Telephone & Data Systems Inc., Special 2,984,000180,000 Telmex Internacional SAB de CV, ADR 3,470,400125,000 Telstra Corp. Ltd., ADR . . . . . . . . . . . 1,718,75076,100 TELUS Corp., Non-Voting . . . . . . . . . 2,725,902

1,000,000 Verizon Communications Inc. . . . . . . . 31,020,000150,000 Vodafone Group plc, ADR . . . . . . . . . 3,493,500

---------------------------------------------108,576,047

---------------------------------------------

Transportation — 0.5%250,000 GATX Corp. . . . . . . . . . . . . . . . . . . . . . $ 7,162,50027,000 Kansas City Southern† . . . . . . . . . . . . 976,59011,000 Teekay Corp. . . . . . . . . . . . . . . . . . . . . 250,140

---------------------------------------------8,389,230

---------------------------------------------Wireless Communications — 0.3%

110,000 United States Cellular Corp.† . . . . . . . 4,551,80040,000 Vimpel-Communications, ADR . . . . . . 736,400

---------------------------------------------5,288,200

---------------------------------------------TOTAL COMMON STOCKS . . . . . 1,638,702,341

---------------------------------------------

CONVERTIBLE PREFERRED STOCKS — 1.0%Broadcasting — 0.0%

15,266 Emmis Communications Corp.,6.250% Cv. Pfd., Ser. A† . . . . . . . . 241,813

---------------------------------------------Building and Construction — 0.0%

200 Fleetwood Capital Trust,6.000% Cv. Pfd.† . . . . . . . . . . . . . . 56

---------------------------------------------Energy and Utilities — 0.3%

5,000 Chesapeake Energy Corp., 5.000% Cv. Pfd. (c) . . . . . . . . . . . . 425,000

129,000 El Paso Energy Capital Trust I, 4.750% Cv. Pfd. . . . . . . . . . . . . . . . 4,788,480

---------------------------------------------5,213,480


1,500 Doral Financial Corp., 4.750% Cv. Pfd. . . . . . . . . . . . . . . . 145,500

84,000 Newell Financial Trust I, 5.250% Cv. Pfd. . . . . . . . . . . . . . . . 3,402,000

---------------------------------------------3,547,500

---------------------------------------------Telecommunications — 0.5%

55,000 Cincinnati Bell Inc., 6.750% Cv. Pfd., Ser. B . . . . . . . . . 2,147,750

105,000 Crown Castle International Corp.,6.250% Cv. Pfd. . . . . . . . . . . . . . . . 6,242,250

---------------------------------------------8,390,000

---------------------------------------------Transportation — 0.0%

1,500 GATX Corp., $2.50 Cv. Pfd., Ser. A (d) . . . . . . . . . . . . . . . . . . . . 214,875

---------------------------------------------TOTAL CONVERTIBLE

PREFERRED STOCKS . . . . . . . . 17,607,724---------------------------------------------

WARRANTS — 0.0%Food and Beverage — 0.0%

650 Parmalat SpA, GDR, expire 12/31/15† (b)(c)(d) . . . . . . . . 634

---------------------------------------------


March 31, 2010 (Unaudited)Shares/ MarketUnits Value——––— ————


7


CONVERTIBLE CORPORATE BONDS — 1.6%Aerospace — 0.0%

$ 500,000 Gencorp Inc., Sub. Deb. Cv.,4.063%, 12/31/39 (c) . . . . . . . . . . . $ 478,750

---------------------------------------------Automotive: Parts and Accessories — 0.0%

500,000 Standard Motor Products Inc., Sub. Deb. Cv.,15.000%, 04/15/11 . . . . . . . . . . . . . 507,500

---------------------------------------------Broadcasting — 0.5%

10,000,000 Sinclair Broadcast Group Inc., Sub. Deb. Cv.,6.000%, 09/15/12 . . . . . . . . . . . . . . 9,525,000

---------------------------------------------Computer Hardware — 0.2%

3,000,000 SanDisk Corp., Cv.,1.000%, 05/15/13 . . . . . . . . . . . . . . 2,606,250

---------------------------------------------Diversified Industrial — 0.5%

8,800,000 Griffon Corp., Sub. Deb. Cv.,4.000%, 01/15/17 (c) . . . . . . . . . . . 9,548,000


200,000 Janus Capital Group Inc., Cv.,3.250%, 07/15/14 . . . . . . . . . . . . . . 253,500

---------------------------------------------Real Estate — 0.1%

1,000,000 Palm Harbor Homes Inc., Cv.,3.250%, 05/15/24 . . . . . . . . . . . . . . 675,000

---------------------------------------------Retail — 0.3%

5,300,000 The Great Atlantic & Pacific Tea Co. Inc., Cv.,5.125%, 06/15/11 . . . . . . . . . . . . . . 5,134,375

---------------------------------------------TOTAL CONVERTIBLE

CORPORATE BONDS . . . . . . . . . 28,728,375---------------------------------------------

U.S. GOVERNMENT OBLIGATIONS — 6.4%U.S. Treasury Bills — 3.6%

65,009,000 U.S. Treasury Bills, 0.041% to 0.244%††, 04/15/10 to 09/23/10 . . . . . . . . . . . 64,998,988

---------------------------------------------U.S. Treasury Cash Management Bills — 2.8%

50,655,000 U.S. Treasury Cash Management Bills, 0.107% to 0.178%††, 06/10/10 to 07/15/10 . . . . . . . . . . . 50,639,315

---------------------------------------------U.S. Treasury Notes — 0.0%

595,000 U.S. Treasury Note, 4.125%, 08/15/10 603,902---------------------------------------------

TOTAL U.S. GOVERNMENT OBLIGATIONS . . . . . . . . . . . . . . . 116,242,205

---------------------------------------------

TOTAL INVESTMENTS — 100.0%(Cost $1,672,961,205) . . . . . . . . . . . . . . . . . . . . . . . $1,801,281,279

------------------------------------------------------------------------------------------Aggregate book cost . . . . . . . . . . . . . . . . . $1,672,961,205

------------------------------------------------------------------------------------------Gross unrealized appreciation . . . . . . . . . . $ 255,832,401Gross unrealized depreciation . . . . . . . . . . (127,512,327)

---------------------------------------------Net unrealized appreciation/depreciation . . $ 128,320,074

------------------------------------------------------------------------------------------

---------------------------------------------------------(a) Security considered an affiliated holding because the Fund owns

at least 5% of its outstanding shares.(b) At March 31, 2010, the Fund held investments in restricted and

illiquid securities amounting to $931,881 or 0.05% of totalinvestments, which were valued under methods approved by theBoard of Trustees as follows:

03/31/10Acquisition Acquisition Acquisition Carrying Value

Shares Issuer Date Cost Per Unit——–— ——– ——–— ——–— ——–––—339,450 Parmalat SpA, GDR . . . . . . . . 12/02/03 $981,615 $2.7434

650 Parmalat SpA, GDR, Warrants expire 12/31/15 . . 11/09/05 — 0.9754

(c) Security exempt from registration under Rule 144A of theSecurities Act of 1933, as amended. These securities may beresold in transactions exempt from registration, normally toqualified institutional buyers. At March 31, 2010, the marketvalue of Rule 144A securities amounted to $12,509,462 or0.69% of total investments. Except as noted in (b), thesesecurities are liquid.

(d) Security fair valued under procedures established by the Boardof Trustees. The procedures may include reviewing availablefinancial information about the company and reviewing thevaluation of comparable securities and other factors on a regularbasis. At March 31, 2010, the market value of fair valuedsecurities amounted to $1,341,340 or 0.07% of total investments.

† Non-income producing security.†† Represents annualized yield at date of purchase.ADR American Depositary ReceiptCVR Contingent Value RightGDR Global Depositary Receipt


March 31, 2010 (Unaudited)Principal MarketAmount Value——––— ————

MarketValue————

% ofMarket Market

Geographic Diversification Value Value—————————————— ——— ———North America. . . . . . . . . . . . . . . . . . . . . . 80.1% $1,442,840,891Europe . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15.5 278,938,046Japan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.3 59,063,076Latin America . . . . . . . . . . . . . . . . . . . . . . 0.7 12,130,626Asia/Pacific . . . . . . . . . . . . . . . . . . . . . . . . 0.4 8,308,640

———— ——––—————Total Investments. . . . . . . . . . . . . . . . . . . . 100.0% $1,801,281,279

———— ——––————————— ——––—————

8

1. Security Valuation. Portfolio securities listed or traded on a nationally recognized securities exchange or traded in theUnited States of America over-the-counter market for which market quotations are readily available are valued at the lastquoted sale price or a market’s official closing price as of the close of business on the day the securities are being valued.If there were no sales that day, the security is valued at the average of the closing bid and asked prices or, if there were noasked prices quoted on that day, then the security is valued at the closing bid price on that day. If no bid or asked pricesare quoted on such day, the security is valued at the most recently available price or, if the Board of Trustees (the “Board”)so determines, by such other method as the Board shall determine in good faith to reflect its fair market value. Portfoliosecurities traded on more than one national securities exchange or market are valued according to the broadest and mostrepresentative market, as determined by Gabelli Funds, LLC (the “Adviser”).

Portfolio securities primarily traded on a foreign market are generally valued at the preceding closing values of suchsecurities on the relevant market, but may be fair valued pursuant to procedures established by the Board if marketconditions change significantly after the close of the foreign market but prior to the close of business on the day thesecurities are being valued. Debt instruments with remaining maturities of sixty days or less that are not credit impairedare valued at amortized cost, unless the Board determines such amount does not reflect the securities’ fair value, in whichcase these securities will be fair valued as determined by the Board. Debt instruments having a maturity greater than sixtydays for which market quotations are readily available are valued at the average of the latest bid and asked prices. If therewere no asked prices quoted on such day, the security is valued using the closing bid price. Futures contracts are valuedat the closing settlement price of the exchange or board of trade on which the applicable contract is traded.

Securities and assets for which market quotations are not readily available are fair valued as determined by theBoard.

The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into threelevels as described in the hierarchy 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.); and

• Level 3 – significant unobservable inputs (including the Fund’s determinations as to the fair value of investments).

THE GABELLI DIVIDEND & INCOME TRUSTNOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

9

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated withinvesting in those securities. The summary of the Fund’s investments and other financial instruments by inputs used tovalue the Fund’s investments as of March 31, 2010 is as follows:

Valuation InputsLevel 1 Level 2 TotalQuoted Other Significant Market ValuePrices Observable Inputs at 3/31/10

—————————— —————————— ——————————INVESTMENTS IN SECURITIES:ASSETS (Market Value):Common Stocks:

Food and Beverage $ 188,146,169 $ 931,247 $ 189,077,416Telecommunications 107,450,216 1,125,831 108,576,047Other Industries (a) 1,341,048,878 — 1,341,048,878

Total Common Stocks 1,636,645,263 2,057,078 1,638,702,341

Convertible Preferred Stocks:Transportation — 214,875 214,875Other Industries (a) 17,392,849 — 17,392,849

Total Convertible Preferred Stocks 17,392,849 214,875 17,607,724

Warrants (a) — 634 634Convertible Corporate Bonds — 28,728,375 28,728,375U.S. Government Obligations — 116,242,205 116,242,205

TOTAL INVESTMENTS IN SECURITIES $1,654,038,112 $147,243,167 $1,801,281,279

OTHER FINANCIAL INSTRUMENTS:LIABILITIES (Unrealized Depreciation): *

INTEREST RATE CONTRACTInterest Rate Swap Agreement $ — $ (949,183) $ (949,183)

(a) Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings.* Other financial instruments are derivatives not reflected in the Schedule of Investments, such as futures, forwards, and swaps, which are valued at the

unrealized appreciation/depreciation of the instrument.

There were no Level 3 investments held at March 31, 2010 or December 31, 2009.

2. Derivative Instruments. The Fund may engage in various portfolio investment strategies by investing in a number ofderivative financial instruments for the purpose of achieving additional return or hedging the value of the Fund’s portfolio,increasing the income of the Fund, hedging or protecting its exposure to interest rate movements and movements in thesecurities markets, managing risks, or protecting the value of its portfolio against uncertainty in the level of future currencyexchange rates. Investing in certain derivative financial instruments, including participation in the options, futures, or swapmarkets, entails certain execution, liquidity, hedging, tax, and securities, interest, credit, or currency market risks. Lossesmay arise if the Adviser’s prediction of movements in the direction of the securities, foreign currency, and interest ratemarkets is inaccurate. Losses may also arise if the counterparty does not perform its duties under a contract, or that, in theevent of default, the Fund may be delayed in or prevented from obtaining payments or other contractual remedies owedto it under derivative contracts. The creditworthiness of the counterparties is closely monitored in order to minimize theserisks. Participation in derivative transactions involves investment risks, transaction costs, and potential losses to which theFund would not be subject absent the use of these strategies. The consequences of these risks, transaction costs, and lossesmay have a negative impact on the Fund’s ability to pay distributions.

THE GABELLI DIVIDEND & INCOME TRUSTNOTES TO SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

10

Options. The Fund may purchase or write call or put options on securities or indices for the purpose of achievingadditional return of hedging the value of the Fund’s portfolio. As a writer of put options, the Fund receives a premium atthe outset and then bears the risk of unfavorable changes in the price of the financial instrument underlying the option.The Fund would incur a loss if the price of the underlying financial instrument decreases between the date the option iswritten and the date on which the option is terminated. The Fund would realize a gain, to the extent of the premium, if theprice of the financial instrument increases between those dates. If a written call option is exercised, the premium is addedto the proceeds from the sale of the underlying security in determining whether there has been a realized gain or loss. Ifa written put option is exercised, the premium reduces the cost basis of the security.

As a purchaser of put options, the Fund pays a premium for the right to sell to the seller of the put option theunderlying security at a specified price. The seller of the put has the obligation to purchase the underlying security uponexercise at the exercise price. If the price of the underlying security declines, the Fund would realize a gain upon sale orexercise. If the price of the underlying security increases or stays the same, the Fund would realize a loss upon sale or atthe expiration date, but only to the extent of the premium paid.

In the case of call options, these exercise prices are referred to as “in-the-money,” “at-the-money,” and “out-of-the-money,” respectively. The Fund may write (a) in-the-money call options when the Adviser expects that the price of theunderlying security will remain stable or decline during the option period, (b) at-the-money call options when the Adviserexpects that the price of the underlying security will remain stable, decline, or advance moderately during the optionperiod, and (c) out-of-the-money call options when the Adviser expects that the premiums received from writing the calloption will be greater than the appreciation in the price of the underlying security above the exercise price. By writing acall option, the Fund limits its opportunity to profit from any increase in the market value of the underlying security abovethe exercise price of the option. Out-of-the-money, at-the-money, and in-the-money put options (the reverse of call optionsas to the relation of exercise price to market price) may be utilized in the same market environments that such call optionsare used in equivalent transactions. During the quarter ended March 31, 2010, the Fund had no investments in options.

Swap Agreements. The Fund may enter into equity, contract for difference, and interest rate swap or cap transactionsfor the purpose of increasing the income of the Fund or hedging or protecting its exposure to interest rate movements andmovements in the securities markets. The use of swaps is a highly specialized activity that involves investment techniquesand risks different from those associated with ordinary portfolio security transactions. In an interest rate swap, the Fundwould agree to pay periodically to the other party (which is known as the “counterparty”) a fixed rate payment in exchangefor the counterparty agreeing to pay to the Fund periodically a variable rate payment that is intended to approximate theFund’s variable rate payment obligation on Series B Auction Market Cumulative Preferred Shares (“Series B Shares”). Inan interest rate cap, the Fund would pay a premium to the counterparty and, to the extent that a specified variable rateindex exceeds a predetermined fixed rate, would receive from that counterparty payments of the difference based on thenotional amount of such cap. Swap and cap transactions introduce additional risk because the Fund would remainobligated to pay preferred share dividends when due in accordance with the Statement of Preferences even if thecounterparty defaulted. In a swap, a set of future cash flows is exchanged between two counterparties. One of these cashflow streams will typically be based on a reference interest rate combined with the performance of a notional value ofshares of a stock. The other will be based on the performance of the shares of a stock. Depending on the general state ofshort-term interest rates and the returns on the Fund’s portfolio securities at the time a swap transaction reaches itsscheduled termination date, there is a risk that the Fund will not be able to obtain a replacement transaction or that theterms of the replacement will not be as favorable as on the expiring transaction.


11

The Fund has entered into an interest rate swap agreement with Citibank N.A. Under the agreement, the Fundreceives a floating rate of interest and pays a respective fixed rate of interest on the nominal value of the swap. Details ofthe swap at March 31, 2010 are as follows:

Notional Floating Rate* Termination Net UnrealizedAmount Fixed Rate (rate reset monthly) Date Depreciation———— ———————— ——————————— ———––—— ———————

$100,000,000 4.01000% 0.22875% 6/02/10 $(949,183)

* Based on LIBOR (London Interbank Offered Rate)

Current notional amounts are an indicator of the average volume of the Fund’s derivative activities during the period.

Futures Contracts. The Fund may engage in futures contracts for the purpose of certain hedging, yieldenhancements, and risk management purposes. Upon entering into a futures contract, the Fund is required to deposit withthe broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known asthe “initial margin.” Subsequent payments (“variation margin”) are made or received by the Fund each day, depending onthe daily fluctuations in the value of the contract, and are included in unrealized appreciation/depreciation on investmentsand futures contracts. The Fund recognizes a realized gain or loss when the contract is closed.

There are several risks in connection with the use of futures contracts as a hedging instrument. The change in valueof futures contracts primarily corresponds with the value of their underlying instruments, which may not correlate withthe change in value of the hedged investments. In addition, there is the risk that the Fund may not be able to enter into aclosing transaction because of an illiquid secondary market. During the quarter ended March 31, 2010, the Fund had noinvestments in futures contracts.

Forward Foreign Exchange Contracts. The Fund may engage in forward foreign exchange contracts for the purposeof protecting the value of its portfolio against uncertainty in the level of future currency exchange rates or hedging aspecific transaction with respect to either the currency in which the transaction is denominated or another currency asdeemed appropriate by the Adviser. Forward foreign exchange contracts are valued at the forward rate and are marked-to-market daily. The change in market value is included in unrealized appreciation/depreciation on investments and foreigncurrency translations. When the contract is closed, the Fund records a realized gain or loss equal to the difference betweenthe value of the contract at the time it was opened and the value at the time it was closed.

The use of forward foreign exchange contracts does not eliminate fluctuations in the underlying prices of the Fund’sportfolio securities, but it does establish a rate of exchange that can be achieved in the future. Although forward foreignexchange contracts limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potentialgain that might result should the value of the currency increase. In addition, the Fund could be exposed to risks if thecounterparties to the contracts are unable to meet the terms of their contracts. During the quarter ended March 31, 2010,the Fund had no investments in forward foreign exchange contracts.

The following table summarizes the net unrealized depreciation of derivatives held at March 31, 2010 by primaryrisk exposure:

Net UnrealizedLiability Derivatives: Depreciation

Interest Rate Contract $(949,183)


12

3. Tax Information. At December 31, 2009, the Fund had net capital loss carryforwards for federal income tax purposesof $129,734,874, which are available to reduce future required distributions of net capital gains to shareholders.$22,445,283 of the loss carryforward is available through 2016; and $107,289,591 is available through 2017.

Under the current tax law, capital losses related to securities and foreign currency realized after October 31 and priorto the Fund’s fiscal year end may be treated as occurring on the first day of the following year. For the year endedDecember 31, 2009, the Fund had deferred capital losses of $20,845,593.


13

AUTOMATIC DIVIDEND REINVESTMENT AND VOLUNTARY CASH PURCHASE PLANS

Enrollment in the Plan

It is the policy of The Gabelli Dividend & Income Trust (the “Fund”) to automatically reinvest dividends payable tocommon shareholders. As a “registered” shareholder you automatically become a participant in the Fund’s AutomaticDividend Reinvestment Plan (the “Plan”). The Plan authorizes the Fund to credit common shares to participants upon anincome dividend or a capital gains distribution regardless of whether the shares are trading at a discount or a premium tonet asset value. All distributions to shareholders whose shares are registered in their own names will be automaticallyreinvested pursuant to the Plan in additional shares of the Fund. Plan participants may send their common sharescertificates to Computershare Trust Company, N.A. (“Computershare”) to be held in their dividend reinvestment account.Registered shareholders wishing to receive their distributions in cash must submit this request in writing to:

The Gabelli Dividend & Income Trustc/o Computershare

P.O. Box 43010Providence, RI 02940–3010

Shareholders requesting this cash election must include the shareholder’s name and address as they appear on theshare certificate. Shareholders with additional questions regarding the Plan or requesting a copy of the terms of the Plan,may contact Computershare at (800) 336-6983.

If your shares are held in the name of a broker, bank, or nominee, you should contact such institution. If suchinstitution is not participating in the Plan, your account will be credited with a cash dividend. In order to participate in thePlan through such institution, it may be necessary for you to have your shares taken out of “street name” and re-registeredin your own name. Once registered in your own name your distributions will be automatically reinvested. Certain brokersparticipate in the Plan. Shareholders holding shares in “street name” at participating institutions will have dividendsautomatically reinvested. Shareholders wishing a cash dividend at such institution must contact their broker to make thischange.

The number of shares of common shares distributed to participants in the Plan in lieu of cash dividends is determined inthe following manner. Under the Plan, whenever the market price of the Fund’s common shares is equal to or exceeds net assetvalue at the time shares are valued for purposes of determining the number of shares equivalent to the cash dividends or capitalgains distribution, participants are issued shares of common shares valued at the greater of (i) the net asset value as most recentlydetermined or (ii) 95% of the then current market price of the Fund’s common shares. The valuation date is the dividend ordistribution payment date or, if that date is not a New York Stock Exchange (“NYSE”) trading day, the next trading day. If thenet asset value of the common shares at the time of valuation exceeds the market price of the common shares, participants willreceive shares from the Fund valued at market price. If the Fund should declare a dividend or capital gains distribution payableonly in cash, Computershare will buy shares of common shares in the open market, or on the NYSE or elsewhere, for theparticipants’ accounts, except that Computershare will endeavor to terminate purchases in the open market and cause the Fundto issue shares at net asset value if, following the commencement of such purchases, the market value of the common sharesexceeds the then current net asset value.

The automatic reinvestment of dividends and capital gains distributions will not relieve participants of any incometax which may be payable on such distributions. A participant in the Plan will be treated for federal income tax purposesas having received, on a dividend payment date, a dividend or distribution in an amount equal to the cash the participantcould have received instead of shares.

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Voluntary Cash Purchase Plan

The Voluntary Cash Purchase Plan is yet another vehicle for our shareholders to increase their investment in theFund. In order to participate in the Voluntary Cash Purchase Plan, shareholders must have their shares registered in theirown name.

Participants in the Voluntary Cash Purchase Plan have the option of making additional cash payments toComputershare for investments in the Fund’s common shares at the then current market price. Shareholders may send anamount from $250 to $10,000. Computershare will use these funds to purchase shares in the open market on or about the1st and 15th of each month. Computershare will charge each shareholder who participates $0.75, plus a pro rata share ofthe brokerage commissions. Brokerage charges for such purchases are expected to be less than the usual brokerage chargefor such transactions. It is suggested that any voluntary cash payments be sent to Computershare, P.O. Box 43010,Providence, RI 02940–3010 such that Computershare receives such payments approximately 10 days before the 1st and15th of the month. Funds not received at least five days before the investment date shall be held for investment until thenext purchase date. A payment may be withdrawn without charge if notice is received by Computershare at least 48 hoursbefore such payment is to be invested.

Shareholders wishing to liquidate shares held at Computershare must do so in writing or by telephone. Pleasesubmit your request to the above mentioned address or telephone number. Include in your request your name, address, andaccount number. The cost to liquidate shares is $2.50 per transaction as well as the brokerage commission incurred.Brokerage charges are expected to be less than the usual brokerage charge for such transactions.

For more information regarding the Automatic Dividend Reinvestment Plan and Voluntary Cash Purchase Plan,brochures are available by calling (914) 921-5070 or by writing directly to the Fund.

The Fund reserves the right to amend or terminate the Plan as applied to any voluntary cash payments made and anydividend or distribution paid subsequent to written notice of the change sent to the members of the Plan at least 90 daysbefore the record date for such dividend or distribution. The Plan also may be amended or terminated by Computershareon at least 90 days written notice to participants in the Plan.

TrusteesMario J. Gabelli, CFA

Chairman & Chief Executive Officer,GAMCO Investors, Inc.

Anthony J. ColavitaPresident,Anthony J. Colavita, P.C.

James P. ConnFormer Managing Director & Chief Investment Officer,Financial Security Assurance Holdings Ltd.

Mario d’UrsoFormer Italian Senator

Frank J. Fahrenkopf, Jr.President & Chief Executive Officer,American Gaming Association

Michael J. MelarkeyAttorney-at-Law,Avansino, Melarkey, Knobel & Mulligan

Salvatore M. SalibelloCertified Public Accountant, Salibello & Broder, LLP

Edward T. TokarSenior Managing Director,Beacon Trust Company

Anthonie C. van EkrisChairman, BALMAC International, Inc.

Salvatore J. ZizzaChairman, Zizza & Co., Ltd.

OfficersBruce N. Alpert

President & Acting Treasurer

Carter W. AustinVice President

Peter D. GoldsteinChief Compliance Officer & Acting Secretary

Agnes Mullady*Treasurer & Secretary

Investment AdviserGabelli Funds, LLCOne Corporate CenterRye, New York 10580-1422

CustodianState Street Bank and Trust Company

CounselSkadden, Arps, Slate, Meagher & Flom LLP

Transfer Agent and RegistrarComputershare Trust Company, N.A.

Stock Exchange Listing5.875% 6.00%

Common Preferred PreferredNYSE–Symbol: GDV GDV PrA GDV PrDShares Outstanding: 83,315,237 3,048,019 2,542,296

TRUSTEES AND OFFICERSTHE GABELLI DIVIDEND & INCOME TRUST

One Corporate Center, Rye, NY 10580-1422

For general information about the Gabelli Funds, call 800-GABELLI (800-422-3554), fax us at 914-921-5118, visit Gabelli Funds’Internet homepage at: www.gabelli.com, or e-mail us at: [email protected]

Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that the Fund may,from time to time, purchase its common shares in the open market when the Fund’s shares are trading at a discount of 7.5% or morefrom the net asset value of the shares. The Fund may also, from time to time, purchase its preferred shares in the open market whenthe preferred shares are trading at a discount to the liquidation value.

*Agnes Mullady is on a leave of absence for a limited period of time.

The Net Asset Value per share appears in the Publicly Traded Funds column, under the heading “General Equity Funds,” in Monday’s The Wall Street Journal. It is also listed in Barron’s Mutual Funds/Closed End Funds sectionunder the heading “General Equity Funds.”

The Net Asset Value per share may be obtained each day by calling (914) 921-5070 or visiting www.gabelli.com.

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