UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number            811-22026       

                        Gabelli ESG Fund, Inc. (formerly, The Gabelli SRI Fund, Inc.)                 

(Exact name of registrant as specified in charter)

One Corporate Center

                         Rye, New York 10580-1422                        

(Address of principal executive offices) (Zip code)

Bruce N. Alpert

Gabelli Funds, LLC

One Corporate Center

                             Rye, New York 10580-1422                            

(Name and address of agent for service)

Registrant’s telephone number, including area code:  1-800-422-3554

Date of fiscal year end:  March 31

Date of reporting period:  March 31, 2019

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.

Gabelli ESG Fund, Inc.

Annual Report — March 31, 2019

(Y)our Portfolio Management Team

Christopher C. Desmarais	Christopher J. Marangi	Kevin V. Dreyer	Ian Lapey	Melody Prenner Bryant

To Our Shareholders,

For the fiscal year ended March 31, 2019, the net asset value (NAV) per Class AAA Share of the Gabelli ESG Fund decreased 1.9% compared with increases of 9.5% and 8.8% for the Standard & Poor’s (S&P) 500 Index and the Russell 3000 Index, respectively. Other classes of shares are available. See page 3 for performance information for all classes of shares.

Enclosed are the financial statements, including the schedule of investments, as of March 31, 2019.

Performance Discussion (Unaudited)

The Fund’s investment objective is capital appreciation. The Fund seeks to achieve its objective by investing substantially all, and in any case no less than 80%, of its assets in common and preferred stocks of companies that meet the Fund’s guidelines for social responsibility at the time of investment. The portfolio managers employ a social screening overlay process to identify companies that meet the Fund’s social responsibility guidelines.

As bottom up stock pickers, we are generally not making calls on the direction of rates or any other macro variable. Our process favors companies that can thrive in any climate, for example, those with pricing power, solid balance sheets, and adaptable managements.

During the second quarter of 2018 (the Fund’s first fiscal quarter), markets recouped first quarter losses to finish the first half of 2018 modestly higher. Economic indicators, including the lowest unemployment rate since 2000, remained favorable, and the Federal Reserve maintained its program of interest rate normalization. While the market appeared to take the strong trade rhetoric from the Trump administration in stride, the mere threat of a trade war had a deleterious impact on planned investment.

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (https://gabelli.com/), and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. To elect to receive all future reports on paper free of charge, please contact your financial intermediary, or, if you invest directly with the Fund, you may call 800-422-3554 or send an email request to info@gabelli.com.

Markets continued to charge ahead in the third quarter of 2018 (the Fund’s second fiscal quarter), with the S&P 500 again setting record highs in late September. Financial and economic data continued to support the rally: U.S. second quarter GDP growth registered a blistering 4.2%, the unemployment rate fell to a 49 year low at 3.7% in September, and corporate profits soared, with growth of over 16%. Continued trade tensions, Federal Reserve-driven rising interest rates, and uncertainty around the midterm congressional elections were overlooked.

In the fourth quarter of 2018 (the Fund’s third fiscal quarter) the S&P 500 decreased 4.4% and the small capitalization Russell 2000 index was down 11%, with each off 13.5% and 20.2%, respectively, for 2018. The performance of the S&P 500, dominated by six technology stocks (Facebook, Amazon, Netflix, Google, Microsoft, and Apple – the “FANGMA”) that comprise 15% of its weight, masked the more significant declines posted by a broader group of stocks. Approximately two-thirds of stocks in the S&P 500 were negative for the year, with one-third down more than 20%. Even the vaunted FANGMA was 25% off its highs, adding credence to the notion that the global growth trend may have been broken. “Buy the Dip” morphed to “Sell the Rip.”

During the first three months of 2019, U.S. stocks posted their best quarterly return since 2009. The gains were broad based, as all S&P 500 sectors exceeded 5% for the quarter. Small capitalization stocks and economically sensitive industrials, which took the hardest hit in the fourth calendar quarter of 2018, were among the best performers. Global merger and acquisition activity was $959 billion in the quarter, which was the best start to a new year since 1998.

The top contributor to the fund’s performance for the year was Paypal Holdings Inc. (3.4% of net assets as of March 31, 2019), which revolves around the development of technology platforms to further improve the electronic payments business. Mobile apps, like Paypal-owned Venmo, are facilitating easy, safe, and quick ways to make payments between peers. Mondelēz International Inc. (2.0%) and American Express (2.3%) were also top performers. Mondelēz International Inc. has begun to refresh its portfolio and extend its product line, including an investment in Uplift Foods, a startup focused on prebiotic functional foods. American Express, the credit card giant, has benefited from a strong global economy. Its annual profits increased, along with user spending, and AmEx has continued to attract new customers while also moving into lower end segments like prepaid cards.

Some of the weaker performing stocks included Loral Space & Communications (1.0%), Conagra Brands (3.1%), and Tenneco Inc. (0.6%). After filing its fourth quarter report with the SEC, Loral Space and Communications saw one of its top investors decrease its stake in the company, selling over 168,000 shares. In October 2018, Conagra acquired Pinnacle Foods, but weak earnings from some of its top brands hurt Conagra’s performance. Tenneco, an auto-parts manufacturer, acquired rival Federal-Mogul in the fall of 2018, and has since announced on its investor call that there was a major flaw identified during post-merger integration. The company now plans to split the combined business, with one entity focused on powertrains and one entity focused on aftermarket and brake parts, shock absorbers, and suspension systems.

Thank you for your investment in the Gabelli ESG Fund.

We appreciate your confidence and trust.

2

Comparative Results

Average Annual Returns through March 31, 2019 (a)(b) (Unaudited)
	1 Year	5 Year	10 Year	Since Inception (6/01/07)
Class AAA (SRIGX)	(1.92)%	4.49%	11.55%	5.30%
S&P 500 Index	9.50	10.91	15.92	7.58
Russell 3000 Index	8.77	10.36	16.00	7.55
Class A (SRIAX)	(1.85)	4.50	11.55	5.30
With sales charge (c)	(7.49)	3.27	10.89	4.78
Class C (SRICX)	(2.65)	3.73	10.70	4.51
With contingent deferred sales charge (d)	(3.63)	3.73	10.70	4.51
Class I (SRIDX)	(1.68)	4.76	11.82	5.56

In the current prospectuses dated July 30, 2018 as amended August 7, 2018, the gross expense ratios for Class AAA, A, C, and I are 1.75%, 1.75%, 2.50%, and 1.50% respectively, and the net expense ratios for these share classes after contractual reimbursements by Gabelli Funds, LLC, (the Adviser) are 1.27%, 1.27%, 2.02%, and 1.02%, respectively. See page 10 for the expense ratios for the year ended March 31, 2019. Class AAA and I Shares do not have a sales charge. The maximum sales charge for Class A Shares and Class C Shares is 5.75% and 1.00%, respectively.

(a) Returns represent past performance and do not guarantee future results. Total returns and average annual returns reflect changes in share price, reinvestment of distributions, and are net of expenses. Investment returns and the principal value of an investment will fluctuate. When shares are redeemed, they may be worth more or less than their original cost. Current performance may be lower or higher than the performance data presented. Visit www.gabelli.com for performance information as of the most recent month end. Returns would have been lower had the Adviser not reimbursed certain expenses of the Fund. The Fund imposes a 2% redemption fee on shares sold or exchanged within seven days of purchase. Investors should carefully consider the investment objectives, risks, charges, and expenses of the Fund before investing. The prospectuses contain information about these and other matters and should be read carefully before investing. To obtain a prospectus, please visit our website at www.gabelli.com. The S&P 500 Index is a market capitalization weighted index of 500 large capitalization stocks commonly used to represent the U.S. equity market. The Russell 3000 Index is an unmanaged indicator that measures the performance of the 3,000 largest U.S. traded stocks, in which the underlying companies are incorporated in the U.S. Dividends are considered reinvested. You cannot invest directly in an index.

(b) The Fund’s fiscal year ends March 31.

(c) Performance results include the effect of the maximum 5.75% sales charge at the beginning of the period.

(d) Assuming payment of the 1% maximum contingent deferred sales charge imposed on redemptions made within one year of purchase.

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN

GABELLI ESG FUND, INC. (CLASS AAA SHARES), RUSSELL 3000 INDEX, AND S&P 500 INDEX (Unaudited)

* Past performance is not predictive of future results. The performance tables and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

3

Gabelli ESG Fund, Inc.

Disclosure of Fund Expenses (Unaudited)

For the Six Month Period from October 1, 2018 through March 31, 2019 Expense Table

We believe it is important for you to understand the impact of fees and expenses regarding your investment. All mutual funds have operating expenses. As a shareholder of a fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of a fund. When a fund’s expenses are expressed as a percentage of its average net assets, this figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

The Expense Table below illustrates your Fund’s costs in two ways:

Actual Fund Return: This section provides information about actual account values and actual expenses. You may use this section to help you to estimate the actual expenses that you paid over the period after any fee waivers and expense reimbursements. The “Ending Account Value” shown is derived from the Fund’s actual return during the past six months, and the “Expenses Paid During Period” shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period.

To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your Fund under the heading “Expenses Paid During Period” to estimate the expenses you paid during this period.

Hypothetical 5% Return: This section provides information about hypothetical account values and

hypothetical expenses based on the Fund’s actual expense ratio. It assumes a hypothetical annualized return of 5% before expenses during the period shown. In this case – because the hypothetical return used is not the Fund’s actual return – the results do not apply to your investment and you cannot use the hypothetical account value and expense to estimate the actual ending account balance or expenses you paid for the period. This example is useful in making comparisons of the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as sales charges (loads), redemption fees, or exchange fees, if any, which are described in the Prospectus. If these costs were applied to your account, your costs would be higher. Therefore, the 5% hypothetical return is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The “Annualized Expense Ratio” represents the actual expenses for the last six months and may be different from the expense ratio in the Financial Highlights which is for the fiscal year ended March 31, 2019.

	Beginning Account Value 10/01/18	Ending Account Value 03/31/19		Annualized Expense Ratio		Expenses Paid During Period*
Gabelli ESG Fund, Inc.
Actual Fund Return
Class AAA	$1,000.00		$   959.60		1.25%		$  6.11
Class A	$1,000.00		$   959.60		1.25%		$  6.11
Class C	$1,000.00		$   956.00		2.00%		$  9.75
Class I	$1,000.00		$   960.50		1.00%		$  4.89
Hypothetical 5% Return
Class AAA	$1,000.00		$1,018.70		1.25%		$  6.29
Class A	$1,000.00		$1,018.70		1.25%		$  6.29
Class C	$1,000.00		$1,014.96		2.00%		$10.05
Class I	$1,000.00		$1,019.95		1.00%		$  5.04

* Expenses are equal to the Fund’s annualized expense ratio for the last six months multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (182 days), then divided by 365.

4

Summary of Portfolio Holdings (Unaudited)

The following table presents portfolio holdings as a percent of net assets as of March 31, 2019:

Gabelli ESG Fund, Inc.

Financial Services	17.3	%
U.S. Government Obligations	12.0	%
Food	11.5	%
Health Care	8.3	%
Machinery	6.5	%
Computer Software and Services	6.2	%
Beverage	4.4	%
Cable and Satellite	4.2	%
Equipment and Supplies	3.5	%
Automotive: Parts and Accessories	3.2	%
Consumer Products	2.9	%
Broadcasting	2.9	%
Entertainment	2.8	%

Energy and Utilities	2.7	%
Telecommunications	2.7	%
Business Services	2.4	%
Building and Construction	2.3	%
Environmental Services	1.8	%
Diversified Industrial	1.5	%
Specialty Chemicals	1.4	%
Automotive	1.2	%
Retail	0.7	%
Other Assets and Liabilities (Net)	(2.4	)%
	100.0	%

The Fund files a complete schedule of portfolio holdings with the Securities and Exchange Commission (the SEC) for the first and third quarters of each fiscal year on Form N-PORT Shareholders may obtain this information at www.gabelli.com or by calling the Fund at 800-GABELLI (800-422-3554). The Fund’s Form N-PORT is available on the SEC’s website at www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

Proxy Voting

The Fund files Form N-PX with its complete proxy voting record for the twelve months ended June 30, no later than August 31 of each year. A description of the Fund’s proxy voting policies, procedures, and how the Fund voted proxies relating to portfolio securities is available without charge, upon request, by (i) calling 800-GABELLI (800-422-3554); (ii) writing to The Gabelli Funds at One Corporate Center, Rye, NY 10580-1422; or (iii) visiting the SEC’s website at www.sec.gov.

5

Gabelli ESG Fund, Inc.

Schedule of Investments — March 31, 2019

Shares			Cost		Market  Value
		COMMON STOCKS — 90.4%
		Automotive — 1.2%
	4,500	Daimler AG	$	262,398	$	263,753
	2,300	Toyota Motor Corp., ADR		273,723		271,446
				536,121		535,199
		Automotive: Parts and Accessories — 3.2%
	10,000	Genuine Parts Co.		808,297		1,120,300
	12,100	Tenneco Inc., Cl. A		308,708		268,136
				1,117,005		1,388,436
		Beverage — 4.4%
	20,000	Danone SA		1,402,531		1,541,067
	3,000	PepsiCo Inc.		247,920		367,650
				1,650,451		1,908,717
		Broadcasting — 2.9%
	3,000	Liberty Broadband Corp., Cl. C†		138,893		275,220
	15,000	Liberty Media Corp.- Liberty Braves, Cl. C†		210,316		416,550
	14,500	Liberty Media Corp.- Liberty SiriusXM, Cl. C†		348,506		554,480
				697,715		1,246,250
		Building and Construction — 2.3%
	4,000	Herc Holdings Inc.†		110,844		155,920
	22,500	Johnson Controls International plc		608,464		831,150
				719,308		987,070
		Business Services — 2.4%
	10,000	Macquarie Infrastructure Corp.		341,224		412,200
	13,000	ServiceMaster Global Holdings Inc.†		382,662		607,100
				723,886		1,019,300
		Cable and Satellite — 4.2%
	22,000	Comcast Corp., Cl. A		430,776		879,560
	9,000	EchoStar Corp., Cl. A†		409,555		328,050
	25,000	Liberty Global plc, Cl. C†		701,152		605,250
				1,541,483		1,812,860
		Computer Software and Services — 6.2%
	1,000	Alphabet Inc., Cl. A†		1,127,647		1,176,890
	2,900	Dell Technologies Inc.†		173,822		170,201
	57,500	Hewlett Packard Enterprise Co.		789,043		887,225
	7,300	Intel Corp.		395,246		392,010
	10,000	Internap Corp.†		61,477		49,600
				2,547,235		2,675,926
		Consumer Products — 2.9%
	5,000	Energizer Holdings Inc.		147,888		224,650
	24,200	Sony Corp., ADR		628,368		1,022,208
				776,256		1,246,858
		Diversified Industrial — 1.5%
	2,500	Acuity Brands Inc.		328,831		300,025

Shares			Cost		Market  Value
	18,500	General Electric Co.	$	185,752	$	184,815
	700	Honeywell International Inc.		110,313		111,244
	275	Union Pacific Corp.		45,680		45,980
				670,576		642,064
		Energy and Utilities — 2.7%
	6,000	NextEra Energy Inc.		944,630		1,159,920
		Entertainment — 2.8%
	6,000	The Walt Disney Co.		677,980		666,180
	19,000	Vivendi SA		423,913		550,524
				1,101,893		1,216,704
		Environmental Services — 1.8%
	33,000	Evoqua Water Technologies Corp.†		490,393		415,140
	4,000	Waste Connections Inc.		117,219		354,360
				607,612		769,500
		Equipment and Supplies — 3.5%
	5,000	Flowserve Corp.		278,059		225,700
	20,000	Mueller Water Products Inc., Cl. A		66,201		200,800
	300	Parker-Hannifin Corp.		51,420		51,486
	13,000	Watts Water Technologies Inc., Cl. A		447,048		1,050,660
				842,728		1,528,646
		Financial Services — 17.3%
	82,000	Aegon NV		428,310		394,059
	13,300	Ally Financial Inc.		359,895		365,617
	9,000	American Express Co.		797,458		983,700
	60,500	Commerzbank AG†		481,099		468,277
	36,500	Credit Agricole SA		451,190		440,968
	50,000	Daiwa Securities Group Inc.		249,330		243,165
	2,534	Diamond Hill Investment Group Inc.		355,806		354,760
	13,800	Franklin Resources Inc.		455,208		457,332
	100,000	Hang Lung Group Ltd.		310,496		321,021
	8,000	Kinnevik AB, Cl. B		266,966		207,200
	9,100	NN Group NV		394,856		378,001
	14,000	PayPal Holdings Inc.†		456,099		1,453,760
	8,800	Societe Generale SA		268,305		254,436
	71,000	Standard Chartered plc		580,342		546,801
	12,000	The Bank of New York Mellon Corp.		646,371		605,160
				6,501,731		7,474,257
		Food — 11.5%
	48,000	Conagra Brands Inc.		1,151,517		1,331,520
	5,000	Lamb Weston Holdings Inc.		99,176		374,700
	10,000	Maple Leaf Foods Inc.		185,039		231,302
	17,000	Mondelēz International Inc., Cl. A		496,344		848,640
	14,000	Nestlé SA		796,864		1,334,271
	15,000	Unilever plc, ADR		476,581		865,800
				3,205,521		4,986,233
		Health Care — 8.3%
	18,500	Bristol-Myers Squibb Co.		930,768		882,635
	2,100	Cigna Corp.		354,115		337,722

See accompanying notes to financial statements.

6

Gabelli ESG Fund, Inc.

Schedule of Investments (Continued) — March 31, 2019

Shares			Cost		Market  Value
		COMMON STOCKS (Continued)
		Health Care (Continued)
	3,200	Covetrus Inc.†	$	131,338	$	101,920
	2,500	GlaxoSmithKline plc, ADR		103,289		104,475
	8,500	Henry Schein Inc.†		502,391		510,935
	5,000	Medtronic plc		464,740		455,400
	10,000	Patterson Cos. Inc.		228,278		218,500
	5,000	Takeda Pharmaceutical Co. Ltd., ADR		107,018		101,850
	8,500	Zoetis Inc.		424,631		855,695
				3,246,568		3,569,132
		Machinery — 6.5%
	105,500	CNH Industrial NV		1,062,466		1,076,100
	22,000	Xylem Inc.		532,407		1,738,880
				1,594,873		2,814,980
		Retail — 0.7%
	2,700	Lowe’s Companies Inc.		277,571		295,569
		Specialty Chemicals — 1.4%
	5,000	H.B. Fuller Co.		195,226		243,200
	3,000	International Flavors & Fragrances Inc.		357,081		386,370
				552,307		629,570
		Telecommunications — 2.7%
	12,000	Loral Space & Communications Inc.†		506,407		432,600
	39,600	Vodafone Group plc, ADR		1,098,173		719,928
				1,604,580		1,152,528
		TOTAL COMMON STOCKS		31,460,050		39,059,719

Principal Amount			Cost		Market  Value
		U.S. GOVERNMENT OBLIGATIONS — 12.0%
	$5,189,000	U.S. Treasury Bill, 2.408%††, 06/13/19	$	5,163,815	$	5,164,181
		TOTAL INVESTMENTS — 102.4%	$	36,623,865		44,223,900
		Other Assets and Liabilities (Net) — (2.4)%				(1,032,339	)
		NET ASSETS — 100.0%			$	43,191,561

†	Non-income producing security.
††	Represents annualized yield at date of purchase.
ADR	American Depositary Receipt

See accompanying notes to financial statements.

7

Gabelli ESG Fund, Inc.

Statement of Assets and Liabilities

March 31, 2019

Assets:
Investments, at value (cost $36,623,865)	$	44,223,900
Receivable for investments sold		75,275
Receivable for Fund shares sold		1,479
Receivable from Adviser		19,683
Dividends receivable		135,078
Prepaid expenses		29,998
Total Assets		44,485,413
Liabilities:
Foreign currency overdraft, at value (cost $1,931)		1,895
Payable to custodian		319,673
Payable for investments purchased		756,306
Payable for Fund shares redeemed		98,803
Payable for investment advisory fees		36,793
Payable for distribution fees		10,459
Payable for payroll expenses		1,080
Other accrued expenses		68,843
Total Liabilities		1,293,852
Net Assets (applicable to 3,102,073 shares outstanding)	$	43,191,561
Net Assets Consist of:
Paid-in capital	$	30,473,925
Total distributable earnings(a)		12,717,636
Net Assets	$	43,191,561
Shares of Capital Stock, each at $0.001 par value; 500,000,000 shares authorized:
Class AAA:
Net Asset Value, offering, and redemption price per share ($11,227,342 ÷ 800,165 shares outstanding)	$	14.03
Class A:
Net Asset Value and redemption price per share ($8,957,634 ÷ 639,096 shares outstanding)	$	14.02
Maximum offering price per share (NAV ÷ 0.9425, based on maximum sales charge of 5.75% of the offering price)	$	14.88
Class C:
Net Asset Value and offering price per share ($7,346,885 ÷ 573,952 shares outstanding)	$	12.80	(b)
Class I:
Net Asset Value, offering, and redemption price per share ($15,659,700 ÷ 1,088,860 shares outstanding)	$	14.38

(a) Effective March 31, 2019, the Fund has adopted disclosure requirements conforming to SEC Rule 6-04.17 of Regulation S-X and discloses total distributable earnings. See Note 2 for further details.

(b) Redemption price varies based on the length of time held.

Statement of Operations

For the Year Ended March 31, 2019

Investment Income:
Dividends (net of foreign withholding taxes of $17,741)	$	866,299
Interest		17,020
Total Investment Income		883,319
Expenses:
Investment advisory fees		505,107
Distribution fees - Class AAA		29,855
Distribution fees - Class A		30,251
Distribution fees - Class C		81,565
Distribution fees - Class T*		1
Registration expenses		71,514
Shareholder communications expenses		53,191
Legal fees		50,104
Shareholder services fees		31,759
Audit fees		28,793
Accounting fees		26,250
Directors’ fees		25,000
Custodian fees		4,489
Payroll expenses		2,618
Miscellaneous expenses		18,852
Total Expenses		959,349
Less:
Expenses reimbursed by Adviser (See Note 3)		(310,905	)
Expenses paid indirectly by broker (See Note 6)		(1,665	)
Total credits and reimbursements		(312,570	)
Net Expenses		646,779
Net Investment Income		236,540
Net Realized and Unrealized Gain/(Loss) on Investments and Foreign Currency:
Net realized gain on investments		6,021,749
Net realized loss on foreign currency transactions		(2,388	)
Net realized gain on investments and foreign currency transactions		6,019,361
Net change in unrealized appreciation/depreciation: on investments		(7,519,304	)
on foreign currency translations		(5,838	)
Net change in unrealized appreciation/ depreciation on investments and foreign currency translations		(7,525,142	)
Net Realized and Unrealized Gain/(Loss) on Investments and Foreign Currency		(1,505,781	)
Net Decrease in Net Assets Resulting from Operations	$	(1,269,241	)

* Class T Shares were liquidated on September 21, 2018.

See accompanying notes to financial statements.

8

Gabelli ESG Fund, Inc.

Statement of Changes in Net Assets

	Year Ended March 31, 2019				Year Ended March 31, 2018
Operations:
Net investment income/(loss)		$	236,540			$	(78,178	)
Net realized gain on investments and foreign currency transactions			6,019,361				3,840,520
Net change in unrealized appreciation/depreciation on investments and foreign currency translations			(7,525,142	)			(958,606	)
Net Increase/(Decrease) in Net Assets Resulting from Operations			(1,269,241	)			2,803,736
Distributions to Shareholders:
Net investment income and net realized gain
Class AAA			(775,314	)			(769,836	)
Class A			(766,107	)			(911,347	)
Class C			(579,785	)			(507,555	)
Class I			(1,237,657	)			(1,245,241	)
Class T*			—				(53	)
Distributions to Shareholders(a)			(3,358,863	)			(3,434,032	)**
Capital Share Transactions:
Class AAA			(1,410,099	)			(1,622,637	)
Class A			(6,245,762	)			(1,083,603	)
Class C			(1,031,705	)			(1,479,796	)
Class I			(1,768,572	)			(8,574,647	)
Class T*			(1,051	)			1,053
Net Decrease in Net Assets from Capital Share Transactions			(10,457,189	)			(12,759,630	)
Redemption Fees			257				12
Net Decrease in Net Assets			(15,085,036	)			(13,389,914	)
Net Assets:
Beginning of year			58,276,597				71,666,511
End of year		$	43,191,561			$	58,276,597

(a) Effective March 31, 2019, the Fund has adopted disclosure requirements conforming to SEC Rule 6-04.17 of Regulation S-X. See Note 2 for further details.

* Class T Shares were liquidated on September 21, 2018.

** For the year ended March 31, 2018, the distributions to the shareholders from net investment income were $32,990 (Class AAA), $38,428 (Class A), $110,547 (Class I), and $3 (Class T). The distributions to the shareholders from net realized gain were $736,846 (Class AAA), $872,919 (Class A), $507,555 (Class C), $1,134,694 (Class I), and $50 (Class T*).

See accompanying notes to financial statements.

9

Gabelli ESG Fund, Inc.

Financial Highlights

Selected data for a share of capital stock outstanding throughout each year:

			Income (Loss) from Investment Operations						Distributions												Ratios to Average Net Assets/Supplemental Data
Year Ended   March 31	Net Asset Value, Beginning of Year		Net     Investment     Income (Loss)(a)		Net Realized and Unrealized Gain (Loss) on Investments		Total from Investment Operations		Net Investment Income		Net Realized Gain on Investments		Total Distributions		Redemption Fees(a)(b)		Net Asset Value, End of Year	Total Return†			Net Assets End of Year (in 000’s)	Net Investment Income (Loss)	Expenses Net of Waivers/ Reimburse- ments	Expenses Before Waivers/ Reim- bursements	Portfolio Turnover Rate
Class AAA
2019		$15.35		$ 0.07		$ (0.37)		$(0.30)		—		$(1.02)		$(1.02)		$0.00	$14.03		(1.92)	%	$11,227	0.49%	1.25%	1.87%(c)		29	%
2018		15.57		(0.02)		0.64		0.62		$(0.04)		(0.80)		(0.84)		0.00	15.35		3.85		13,665	(0.10)	1.25	1.73(c)		8
2017		14.29		0.04		1.81		1.85		—		(0.57)		(0.57)		0.00	15.57		13.14		15,409	0.27	1.39	1.67(c)		18
2016		14.85		(0.04)		(0.22)		(0.26)		—		(0.30)		(0.30)		0.00	14.29		(1.79)		17,532	(0.29)	1.68	1.68(c)		14
2015		13.49		(0.03)		1.39		1.36		—		—		—		—	14.85		10.08		20,886	(0.22)	1.64	1.64		28
Class A
2019		$15.33		$ 0.08		$(0.37)		$(0.29)		—		$(1.02)		$(1.02)		$0.00	$14.02		(1.85)	%	$8,958	0.51%	1.25%	1.87%(c)		29	%
2018		15.55		(0.02)		0.64		0.62		$(0.04)		(0.80)		(0.84)		0.00	15.33		3.85		16,280	(0.10)	1.25	1.73(c)		8
2017		14.28		0.04		1.80		1.84		—		(0.57)		(0.57)		0.00	15.55		13.08		17,569	0.26	1.39	1.67(c)		18
2016		14.84		(0.04)		(0.22)		(0.26)		—		(0.30)		(0.30)		0.00	14.28		(1.79)		20,002	(0.29)	1.68	1.68(c)		14
2015		13.48		(0.03)		1.39		1.36		—		—		—		—	14.84		10.09		21,190	(0.19)	1.64	1.64		28
Class C
2019		$14.20		$ (0.03)		$(0.35)		$(0.38)		—		$(1.02)		$(1.02)		$0.00	$12.80		(2.65)	%	$7,347	(0.25)%	2.00%	2.62%(c)		29	%
2018		14.53		(0.13)		0.60		0.47		—		(0.80)		(0.80)		0.00	14.20		3.11		9,176	(0.85)	2.00	2.48(c)		8
2017		13.47		(0.07)		1.70		1.63		—		(0.57)		(0.57)		0.00	14.53		12.29		10,815	(0.49)	2.14	2.42(c)		18
2016		14.13		(0.14)		(0.22)		(0.36)		—		(0.30)		(0.30)		0.00	13.47		(2.60)		10,320	(1.05)	2.43	2.43(c)		14
2015		12.92		(0.13)		1.34		1.21		—		—		—		—	14.13		9.37		10,919	(0.98)	2.39	2.39		28
Class I
2019		$15.67		$ 0.11		$(0.38)		$(0.27)		—		$(1.02)		$(1.02)		$0.00	$14.38		(1.68)	%	$15,660	0.74%	1.00%	1.62%(c)		29	%
2018		15.87		0.03		0.65		0.68		$(0.08)		(0.80)		(0.88)		0.00	15.67		4.17		19,155	0.18	1.00	1.48(c)		8
2017		14.52		0.08		1.84		1.92		—		(0.57)		(0.57)		0.00	15.87		13.42		27,874	0.53	1.13	1.42(c)		18
2016		15.06		(0.01)		(0.23)		(0.24)		—		(0.30)		(0.30)		0.00	14.52		(1.63)		20,582	(0.04)	1.43	1.43(c)		14
2015		13.64		(0.01)		1.43		1.42		—		—		—		—	15.06		10.41		23,034	(0.09)	1.39	1.39		28

†	Total return represents aggregate total return of a hypothetical $1,000 investment at the beginning of the year and sold at the end of the year including reinvestment of distributions and does not reflect the applicable sales charges.
(a)	Per share amounts have been calculated using the average shares outstanding method.
(b)	Amount represents less than $0.005 per share.
(c)	The Fund received credits from a designated broker who agreed to pay certain Fund operating expenses. For the years ended March 31, 2019, 2018, 2017, and 2016, there was no impact on the expense ratios.

See accompanying notes to financial statements.

10

Gabelli ESG Fund, Inc.

Notes to Financial Statements

1. Organization. Gabelli ESG Fund, Inc. (formerly Gabelli SRI Fund, Inc.) was incorporated on March 1, 2007 in Maryland. The Fund changed its name to Gabelli ESG Fund, Inc. on May 17, 2016, with a corresponding change in the name of each of its Classes of Shares. The Fund is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the 1940 Act). The Fund commenced investment operations on June 1, 2007. The Fund’s primary objective is to seek capital appreciation. The Fund seeks to achieve its objective by investing substantially all, and in any case no less than 80%, of its assets in common stocks and preferred stocks of companies that meet the Fund’s guidelines for social responsibility at the time of investment.

2. Significant Accounting Policies. As an investment company, the Fund follows the investment company accounting and reporting guidance, which is part of U.S. generally accepted accounting principles (GAAP) that may require the use of management estimates and assumptions in the preparation of its financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.

New Accounting Pronouncements. The SEC recently adopted changes to Regulation S-X to simplify the reporting of information by registered investment companies in financial statements. The amendments require presentation of the total, rather than the components, of distributable earnings on the Statement of Assets and Liabilities and also require presentation of the total, rather than the components, of distributions to shareholders, except for tax return of capital distributions, if any, on the Statement of Changes in Net Assets. The amendments also removed the requirement for parenthetical disclosure of undistributed net investment income on the Statement of Changes in Net Assets. These Regulation S-X amendments are reflected in the Fund’s financial statements for the fiscal year ended March 31, 2019. As a result of adopting these amendments, the distributions to shareholders in the March 31, 2018 Statement of Changes in Net Assets presented herein have been reclassified to conform to the current year presentation.

To improve the effectiveness of fair value disclosure requirements, the Financial Accounting Standards Board recently issued Accounting Standard Update (ASU) 2018-13, Fair Value Measurement Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement (ASU 2018-13), which adds, removes, and modifies certain aspects relating to fair value disclosure. ASU 2018-13 is effective for interim and annual reporting periods beginning after December 15, 2019; early adoption of the additions relating to ASU 2018-13 is not required, even if early adoption is elected for the amendments under ASU 2018-13. Management has early adopted the amendments set forth in ASU 2018-13 in these financial statements and has not early adopted the additions set forth in ASU 2018-13.

Security Valuation. Portfolio securities listed or traded on a nationally recognized securities exchange or traded in the U.S. over-the-counter market for which market quotations are readily available are valued at the last quoted 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 no asked prices quoted on that day, then the security is valued at the closing bid price on that day. If no bid or asked prices are quoted on such day, the security is valued at the most recently available price or, if the Board of Directors (the Board) so determines, by such other method as the Board shall determine in good faith to reflect its fair market value. Portfolio securities traded on more than one national

11

Gabelli ESG Fund, Inc.

Notes to Financial Statements (Continued)

securities exchange or market are valued according to the broadest and most representative 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 such securities on the relevant market, but may be fair valued pursuant to procedures established by the Board if market conditions change significantly after the close of the foreign market, but prior to the close of business on the day the securities are being valued. Debt obligations for which market quotations are readily available are valued at the average of the latest bid and asked prices. If there were no asked prices quoted on such day, the security is valued using the closing bid price, unless the Board determines such amount does not reflect the securities’ fair value, in which case these securities will be fair valued as determined by the Board. Certain securities are valued principally using dealer quotations. Futures contracts are valued at the closing settlement price of the exchange or board of trade on which the applicable contract is traded. OTC futures and options on futures for which market quotations are readily available will be valued by quotations received from a pricing service or, if no quotations are available from a pricing service, by quotations obtained from one or more dealers in the instrument in question by the Adviser.

Securities and assets for which market quotations are not readily available are fair valued as determined by the Board. Fair valuation methodologies and procedures may include, but are not limited to: analysis and review of available financial and non-financial information about the company; comparisons with the valuation and changes in valuation of similar securities, including a comparison of foreign securities with the equivalent U.S. dollar value American Depositary Receipt securities at the close of the U.S. exchange; and evaluation of any other information that could be indicative of the value of the security.

The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels 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 Board’s determinations as to the fair value of investments).

12

Gabelli ESG Fund, Inc.

Notes to Financial Statements (Continued)

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in the aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of the Fund’s investments in securities by inputs used to value the Fund’s investments as of March 31, 2019 is as follows:

	Valuation Inputs
	Level 1			Level 2 Other Significant			Total Market Value
	Quoted Prices			Observable Inputs			at 3/31/19
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Common Stocks (a)		$	39,059,719			—		$	39,059,719
U.S. Government Obligations			—		$	5,164,181			5,164,181
TOTAL INVESTMENTS IN SECURITIES – ASSETS		$	39,059,719		$	5,164,181		$	44,223,900

(a) Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings.

There were no Level 3 investments at March 31, 2019 or 2018.

Additional Information to Evaluate Qualitative Information.

General. The Fund uses recognized industry pricing services – approved by the Board and unaffiliated with the Adviser – to value most of its securities, and uses broker quotes provided by market makers of securities not valued by these and other recognized pricing sources. Several different pricing feeds are received to value domestic equity securities, international equity securities, preferred equity securities, and fixed income securities. The data within these feeds are ultimately sourced from major stock exchanges and trading systems where these securities trade. The prices supplied by external sources are checked by obtaining quotations or actual transaction prices from market participants. If a price obtained from the pricing source is deemed unreliable, prices will be sought from another pricing service or from a broker/dealer that trades that security or similar securities.

Fair Valuation. Fair valued securities may be common or preferred equities, warrants, options, rights, or fixed income obligations. Where appropriate, Level 3 securities are those for which market quotations are not available, such as securities not traded for several days, or for which current bids are not available, or which are restricted as to transfer. When fair valuing a security, factors to consider include recent prices of comparable securities that are publicly traded, reliable prices of securities not publicly traded, the use of valuation models, current analyst reports, valuing the income or cash flow of the issuer, or cost if the preceding factors do not apply. The circumstances of Level 3 securities are frequently monitored to determine if fair valuation measures continue to apply.

The Adviser reports quarterly to the Board the results of the application of fair valuation policies and procedures. These may include backtesting the prices realized in subsequent trades of these fair valued securities to fair values previously recognized.

Investments in other Investment Companies. The Fund may invest, from time to time, in shares of other investment companies (or entities that would be considered investment companies but are excluded from the definition pursuant to certain exceptions under the 1940 Act) (the Acquired Funds) in accordance with the 1940 Act and related rules. Shareholders in the Fund would bear the pro rata portion of the periodic expenses of

13

Gabelli ESG Fund, Inc.

Notes to Financial Statements (Continued)

the Acquired Funds in addition to the Fund’s expenses. During the fiscal year ended March 31, 2019, the Fund’s pro rata portion of the periodic expenses charged by the Acquired Funds was approximately 1%.

Foreign Currency Translations. The books and records of the Fund are maintained in U.S. dollars. Foreign currencies, investments, and other assets and liabilities are translated into U.S. dollars at current exchange rates. Purchases and sales of investment securities, income, and expenses are translated at the exchange rate prevailing on the respective dates of such transactions. Unrealized gains and losses that result from changes in foreign exchange rates and/or changes in market prices of securities have been included in unrealized appreciation/depreciation on investments and foreign currency translations. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of interest and dividends recorded on the books of the Fund and the amounts actually received. The portion of foreign currency gains and losses related to fluctuation in exchange rates between the initial purchase trade date and subsequent sale trade date is included in realized gain/(loss) on investments.

Foreign Securities. The Fund may directly purchase securities of foreign issuers. Investing in securities of foreign issuers involves special risks not typically associated with investing in securities of U.S. issuers. The risks include possible revaluation of currencies, the inability to repatriate funds, less complete financial information about companies, and possible future adverse political and economic developments. Moreover, securities of many foreign issuers and their markets may be less liquid and their prices more volatile than securities of comparable U.S. issuers.

Foreign Taxes. The Fund may be subject to foreign taxes on income, gains on investments, or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.

Restricted Securities. The Fund may invest up to 15% of its net assets in securities for which the markets are restricted. Restricted securities include securities whose disposition is subject to substantial legal or contractual restrictions. The sale of restricted securities often requires more time and results in higher brokerage charges or dealer discounts and other selling expenses than the sale of securities eligible for trading on national securities exchanges or in the over-the-counter markets. Restricted securities may sell at a price lower than similar securities that are not subject to restrictions on resale. Securities freely saleable among qualified institutional investors under special rules adopted by the SEC may be treated as liquid if they satisfy liquidity standards established by the Board. The continued liquidity of such securities is not as well assured as that of publicly traded securities, and accordingly the Board will monitor their liquidity. At March 31, 2019, the Fund did not hold restricted securities.

Securities Transactions and Investment Income. Securities transactions are accounted for on the trade date with realized gain/(loss) on investments determined by using the identified cost method. Interest income (including amortization of premium and accretion of discount) is recorded on an accrual basis. Premiums and discounts on debt securities are amortized using the effective yield to maturity method. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities that are recorded as soon after the ex-dividend date as the Fund becomes aware of such dividends.

14

Gabelli ESG Fund, Inc.

Notes to Financial Statements (Continued)

Determination of Net Asset Value and Calculation of Expenses. Certain administrative expenses are common to, and allocated among, various affiliated funds. Such allocations are made on the basis of each fund’s average net assets or other criteria directly affecting the expenses as determined by the Adviser pursuant to procedures established by the Board.

In calculating the NAV per share of each class, investment income, realized and unrealized gains and losses, redemption fees, and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Distribution expenses are borne solely by the class incurring the expense.

Distributions to Shareholders. Distributions to shareholders are recorded on the ex-dividend date. Distributions to shareholders are based on income and capital gains as determined in accordance with federal income tax regulations, which may differ from income and capital gains as determined under GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities and foreign currency transactions held by the Fund, timing differences, and differing characterizations of distributions made by the Fund. Distributions from net investment income for federal income tax purposes include net realized gains on foreign currency transactions. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, adjustments are made to the appropriate capital accounts in the period when the differences arise. Permanent differences were primarily due to the tax treatment of currency gains and losses and re-designation of dividend distributions. These reclassifications have no impact on the NAV of the Fund.

The tax character of distributions paid during the fiscal years ended March 31, 2019 and 2018 was as follows:

	Year Ended			Year Ended
	March 31, 2019			March 31, 2018
Distributions paid from:
Ordinary income		$	247,948		$	181,917
Net long term capital gains			3,110,915			3,252,115
Total distributions paid		$	3,358,863		$	3,434,032

Provision for Income Taxes. The Fund intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the Code). It is the policy of the Fund to comply with the requirements of the Code applicable to regulated investment companies and to distribute substantially all of its net investment company taxable income and net capital gains. Therefore, no provision for federal income taxes is required.

At March 31, 2019, the components of accumulated earnings/losses on a tax basis were as follows:

Undistributed ordinary income	$	233,857
Undistributed long term capital gains		4,886,790
Net unrealized appreciation on investments and foreign currency translations		7,596,989
Total	$	12,717,636

At March 31, 2019, the temporary differences between book basis and tax basis unrealized appreciation on investments were primarily due to deferral of losses from wash sales for tax purposes.

15

Gabelli ESG Fund, Inc.

Notes to Financial Statements (Continued)

The following summarizes the tax cost of investments and the related net unrealized appreciation at March 31, 2019:

	Cost			Gross Unrealized Appreciation			Gross Unrealized Depreciation				Net Unrealized Appreciation
Investments		$	36,623,911		$	9,286,855		$	(1,686,866	)		$	7,599,989

The Fund is required to evaluate tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Income tax and related interest and penalties would be recognized by the Fund as tax expense in the Statement of Operations if the tax positions were deemed not to meet the more-likely-than-not threshold. During the fiscal year ended March 31, 2019, the Fund did not incur any income tax, interest, or penalties. As of March 31, 2019, the Adviser has reviewed all open tax years and concluded that there was no impact to the Fund’s net assets or results of operations. The Fund’s federal and state tax returns for the prior three fiscal years remain open, subject to examination. On an ongoing basis, the Adviser will monitor the Fund’s tax positions to determine if adjustments to this conclusion are necessary.

3. Investment Advisory Agreement and Other Transactions. The Fund has entered into an investment advisory agreement (the Advisory Agreement) with the Adviser which provides that the Fund will pay the Adviser a fee, computed daily and paid monthly, at the annual rate of 1.00% of the value of its average daily net assets. In accordance with the Advisory Agreement, the Adviser provides a continuous investment program for the Fund’s portfolio, oversees the administration of all aspects of the Fund’s business and affairs, and pays the compensation of all Officers and Directors of the Fund who are affiliated persons of the Adviser.

The Adviser has contractually agreed to waive its investment advisory fee and/or to reimburse expenses of the Fund to the extent necessary to maintain the total annual Fund operating expenses after fee waiver and expense reimbursement (excluding brokerage costs, acquired fund fees and expenses, interest, taxes, and extraordinary expenses) at no more than an annual rate of 1.25%, 1.25%, 2.00%, and 1.00% for Class AAA, Class A, Class C, and Class I, respectively. Under this same arrangement, the Fund has also agreed, during the two year period following the year of any such waiver or reimbursement by the Adviser, to repay such amount, but only to the extent the Fund’s adjusted total annual Fund operating expenses would not exceed the foregoing rates for these respective share classes, after giving effect to the repayments. This arrangement is in effect until July 31, 2019 and may be terminated only by the Board before such time. At March 31, 2019, the cumulative amount which the Fund may repay the Adviser is $626,844.

For the fiscal year ended March 31, 2018, expiring March 31, 2020	$	315,939
For the fiscal year ended March 31, 2019, expiring March 31, 2021		310,905
Total	$	626,844

The Fund pays each Director who is not considered an affiliated person an annual retainer of $3,000 plus $500 for each Board meeting attended. Each Director is reimbursed by the Fund for any out of pocket expenses incurred in attending meetings and the Chairman of each committee and the Lead Director each receives an annual fee of $1,000. A Director may receive a single meeting fee, allocated among the participating funds, for participation in certain meetings held on behalf of multiple funds. Directors who are directors or employees of the Adviser or an affiliated company receive no compensation or expense reimbursement from the Fund.

16

Gabelli ESG Fund, Inc.

Notes to Financial Statements (Continued)

4. Distribution Plan. The Fund’s Board has adopted a distribution plan (the Plan) for each class of shares, except for Class I Shares, pursuant to Rule 12b-1 under the 1940 Act. Under the Class AAA, Class A, and Class C Share Plans, payments are authorized to G.distributors, LLC (the Distributor), an affiliate of the Adviser, at annual rates of 0.25%, 0.25%, and 1.00%, respectively, of the average daily net assets of those classes, the annual limitations under each Plan. Such payments are accrued daily and paid monthly.

5. Portfolio Securities. Purchases and sales of securities during the fiscal year ended March 31, 2019, other than short term securities and U.S. Government obligations, aggregated $14,380,036 and $31,154,234, respectively.

6. Transactions with Affiliates and Other Arrangements. During the fiscal year ended March 31, 2019, the Fund paid $13,143 in brokerage commissions on security trades to G.research, LLC, an affiliate of the Adviser. Additionally, the Distributor retained a total of $2,142 from investors representing commissions (sales charges and underwriting fees) on sales and redemptions of Fund shares.

During the fiscal year ended March 31, 2019, the Fund received credits from a designated broker who agreed to pay certain Fund operating expenses. The amount of such expenses paid through this directed brokerage arrangement during this period was $1,665.

The cost of calculating the Fund’s NAV per share is a Fund expense pursuant to the Advisory Agreement. During the year ended March 31, 2019, the Fund accrued $26,250 in connection with the cost of computing the Fund’s NAV.

7. Capital Stock. The Fund offers four classes of shares – Class AAA Shares, Class A Shares, Class C Shares, and Class I Shares. Class AAA Shares and Class I Shares are offered without a sales charge. Class A Shares are subject to a maximum front-end sales charge of 5.75%, and Class C Shares are subject to a 1.00% contingent deferred sales charge for one year after purchase. Class T Shares were liquidated on September 21, 2018.

The Fund imposes a redemption fee of 2.00% on all classes of shares that are redeemed or exchanged on or before the seventh day after the date of a purchase. The redemption fee is deducted from the proceeds otherwise payable to the redeeming shareholders and is retained by the Fund as an increase in paid-in capital. The redemption fees retained by the Fund during the fiscal years ended March 31, 2019 and 2018, if any, can be found in the Statement of Changes in Net Assets under Redemption Fees.

17

Gabelli ESG Fund, Inc.

Notes to Financial Statements (Continued)

Transactions in shares of capital stock were as follows:

	Year Ended						Year Ended
	March 31, 2019						March 31, 2018
	Shares			Amount			Shares			Amount
Class AAA
Shares sold		77,740		$	1,096,393			68,864		$	1,095,562
Shares issued upon reinvestment of distributions		54,208			753,494			47,822			748,417
Shares redeemed		(222,118	)		(3,259,986	)		(216,222	)		(3,466,616	)
Net decrease		(90,170	)	$	(1,410,099	)		(99,536	)	$	(1,622,637	)
Class A
Shares sold		65,720		$	965,063			351,683		$	5,571,477
Shares issued upon reinvestment of distributions		52,735			731,960			56,544			883,776
Shares redeemed		(541,025	)		(7,942,785	)		(476,230	)		(7,538,856	)
Net decrease		(422,570	)	$	(6,245,762	)		(68,003	)	$	(1,083,603	)
Class C
Shares sold		49,441		$	609,617			94,687		$	1,400,334
Shares issued upon reinvestment of distributions		41,980			533,568			31,935			463,383
Shares redeemed		(163,823	)		(2,174,890	)		(224,519	)		(3,343,513	)
Net decrease		(72,402	)	$	(1,031,705	)		(97,897	)	$	(1,479,796	)
Class I
Shares sold		250,734		$	3,891,159			471,344		$	7,624,504
Shares issued upon reinvestment of distributions		84,373			1,200,635			71,691			1,144,180
Shares redeemed		(468,901	)		(6,860,366	)		(1,076,285	)		(17,343,331	)
Net decrease		(133,794	)	$	(1,768,572	)		(533,250	)	$	(8,574,647	)
Class T *
Shares sold		—		$	—			62		$	1,000
Shares issued upon reinvestment of distributions		—			—			3			53
Shares redeemed		(65	)		(1,051	)		—			—
Net increase (decrease)		(65	)	$	(1,051	)		65		$	1,053

* Class T Shares were liquidated on September 21, 2018.

8. Indemnifications. The Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts. Management has reviewed the Fund’s existing contracts and expects the risk of loss to be remote.

9. Subsequent Events. Management has evaluated the impact on the Fund of all subsequent events occurring through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.

18

Gabelli ESG Fund, Inc.

Report of Independent Registered Public Accounting Firm

To the Board of Directors and Shareholders of

Gabelli ESG Fund, Inc.:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Gabelli ESG Fund, Inc. (the “Fund”) as of March 31, 2019, the related statement of operations for the year ended March 31, 2019, the statement of changes in net assets for each of the two years in the period ended March 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended March 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of March 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended March 31, 2019 and the financial highlights for each of the five years in the period ended March 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of March 31, 2019 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

New York, New York

May 30, 2019

We have served as the auditor of one or more investment companies in Gabelli/GAMCO Fund Complex since 1986.

19

Gabelli ESG Fund, Inc.

Additional Fund Information (Unaudited)

The business and affairs of the Fund are managed under the direction of the Fund’s Board of Directors. Information pertaining to the Directors and officers of the Fund is set forth below. The Fund’s Statement of Additional Information includes additional information about the Fund’s Directors and is available without charge, upon request, by calling 800-GABELLI (800-422-3554) or by writing to Gabelli ESG Fund, Inc. at One Corporate Center, Rye, NY 10580-1422.

Name, Position(s) Address1 and Age	Term of Office and Length of Time Served2	Number of Funds in Fund Complex Overseen by Director	Principal Occupation(s) During Past Five Years	Other Directorships Held by Director3
INTERESTED DIRECTOR4:
Mario J. Gabelli, CFA Director and Chief Investment Officer Age: 76	Since 2007	35	Chairman, Chief Executive Officer, and Chief Investment Officer– Value Portfolios of GAMCO Investors, Inc. and Chief Investment Officer– Value Portfolios of Gabelli Funds, LLC and GAMCO Asset Management Inc.; Director/ Trustee or Chief Investment Officer of other registered investment companies within the Gabelli/GAMCO Fund Complex; Chief Executive Officer of GGCP, Inc.; Executive Chairman of Associated Capital Group, Inc.	Director of Morgan Group Holdings, Inc. (holding company); Chairman of the Board and Chief Executive Officer of LICT Corp. (multimedia and communication services company); Director of CIBL, Inc. (broadcasting and wireless communications); Director of ICTC Group Inc. (communications)
NON-INTERESTED     DIRECTORS5:
Clarence A. Davis Director Age: 77	Since 2007	3	Former Chief Executive Officer of Nestor, Inc. (2007-2009); Former Chief Operating Officer (2000-2005) and Chief Financial Officer (1999- 2000) of the American Institute of Certified Public Accountants	Director of Telephone & Data Systems, Inc. (telephone services); Director of Pennichuck Corp. (water supply) (2009-2012)
Vincent D. Enright Director Age: 75	Since 2007	17	Former Senior Vice President and Chief Financial Officer of KeySpan Corp. (public utility) (1994-1998)	Director of Echo Therapeutics, Inc. (therapeutics and diagnostics) (2008-2014); Director of The LGL Group, Inc. (diversified manufacturing) (2011-2014)
William F. Heitmann Director Age: 70	Since 2012	4	Managing Director and Senior Advisor of Perlmutter Investment Company (real estate); Senior Vice President of Finance, Verizon Communications, and President, Verizon Investment Management (1971-2011)	Director and Audit Chair of Syncreon (contract logistics provider)
Anthonie C. van Ekris6 Director Age: 84	Since 2007	23	Chairman and Chief Executive Officer of BALMAC International, Inc. (global import/ export company)	—

20

Gabelli ESG Fund, Inc.

Additional Fund Information (Continued) (Unaudited)

Name, Position(s) Address1 and Age	Term of Office and Length of Time Served2	Principal Occupation(s) During Past Five Years
OFFICERS:
Bruce N. Alpert President Age: 67	Since 2007	Executive Vice President and Chief Operating Officer of Gabelli Funds, LLC since 1988; Officer of registered investment companies within the Gabelli/GAMCO Fund Complex; Senior Vice President of GAMCO Investors, Inc. since 2008
John C. Ball Treasurer Age: 43	Since 2017	Treasurer of funds within the Gabelli/GAMCO Fund Complex since 2017; Vice President and Assistant Treasurer of AMG Funds, 2014-2017; Vice President of State Street Corporation, 2007-2014
Agnes Mullady Vice President Age: 60	Since 2007	Officer of registered investment companies within the Gabelli/GAMCO Fund Complex since 2006; President and Chief Operating Officer of the Fund Division of Gabelli Funds, LLC since 2015; Chief Executive Officer of G.distributors, LLC since 2010; Senior Vice President of GAMCO Investors, Inc. since 2009; Vice President of Gabelli Funds, LLC since 2007; Executive Vice President of Associated Capital Group, Inc. since 2016
Andrea R. Mango Secretary Age: 46	Since 2013	Vice President of GAMCO Investors, Inc. since 2016; Counsel of Gabelli Funds, LLC since 2013; Secretary of registered investment companies within the Gabelli/GAMCO Fund Complex since 2013; Vice President of closed-end funds within the Gabelli/GAMCO Fund Complex since 2014; Corporate Vice President within the Corporate Compliance Department of New York Life Insurance Company, 2011-2013
Richard J. Walz Chief Compliance Officer Age: 59	Since 2013	Chief Compliance Officer of registered investment companies within the Gabelli/GAMCO Fund Complex since 2013; Chief Compliance Officer of AEGON USA Investment Management, 2011-2013

¹  Address: One Corporate Center, Rye, NY 10580-1422, unless otherwise noted.

²  Each Director will hold office for an indefinite term until the earliest of (i) the next meeting of shareholders, if any, called for the purpose of considering the election or re-election of such Director and until the election and qualification of his or her successor, if any, elected at such meeting, or (ii) the date a Director resigns or retires, or a Director is removed by the Board of Directors or shareholders, in accordance with the Fund’s By-Laws and Articles of Incorporation. For officers, includes time served in prior officer positions with the Fund. Each officer will hold office for an indefinite term until the date he or she resigns or retires or until his or her successor is elected and qualified.

³  This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934, as amended, i.e., public companies, or other investment companies registered under the 1940 Act.

⁴  “Interested person” of the Fund as defined in the 1940 Act. Mr. Gabelli is considered an “interested person” because of his affiliation with Gabelli Funds, LLC which acts as the Fund’s investment adviser.

⁵  Directors who are not interested persons are considered “Independent” Directors.

⁶  Mr. van Ekris is an independent director of Gabelli International Ltd., Gabelli Fund LDC, GAMA Capital Opportunities Master Ltd., and GAMCO International SICAV, which may be deemed to be controlled by Mario J. Gabelli and/or affiliates and in that event would be deemed to be under common control with the Fund’s Adviser.

21

Gabelli ESG Fund, Inc.

Additional Fund Information (Continued) (Unaudited)

2019 TAX NOTICE TO SHAREHOLDERS (Unaudited)

For the fiscal year ended March 31, 2019, the Fund paid to shareholders ordinary income distributions (comprised of short term capital gains) totaling $0.0750, $0.0750, $0.0750, and $0.0750 per share for Class AAA, Class A, Class C, and Class I Shares, respectively, and long term capital gains totaling $3,110,915, or the maximum allowable. The distribution of long term capital gains has been designated as a capital gain dividend by the Fund’s Board of Directors. For the fiscal year ended March 31, 2019, 100% of the ordinary income distribution qualifies for the dividends received deduction available to corporations. The Fund designates 100% of the ordinary income distribution as qualified dividend income pursuant to the Jobs and Growth Tax Relief Reconciliation Act of 2003. The Fund designates 2.03% of the ordinary income distribution as qualified interest income pursuant to the Tax Relief, Unemployment Reauthorization, and Job Creation Act of 2010.

All designations are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of the Fund to designate the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.

22

GABELLI ESG FUND, INC.

One Corporate Center

Rye, NY 10580-1422

Portfolio Management Team Biographies

Christopher C. Desmarais joined GAMCO Investors, Inc. in 1993. Currently he is a Managing Director of GAMCO Asset Management, Inc., a portfolio manager of Gabelli Funds, LLC, as well as the Director of Socially Responsive Investments. He is a co-portfolio manager of the Fund, and his responsibilities also include marketing and client service of GAMCO’s Value, Growth, and International capabilities for institutional, endowment, and family office clients as well as direct oversight of all of the Firm’s ESG equity products. He is a graduate of Fairfield University with a BA in Economics.

Christopher J. Marangi joined Gabelli in 2003 as a research analyst. Currently he is a Managing Director and Co-Chief Investment Officer for GAMCO Investors, Inc.’s Value team. In addition, he serves as a portfolio manager of Gabelli Funds, LLC and manages several funds within the Gabelli/GAMCO Fund Complex. Mr. Marangi graduated magna cum laude and Phi Beta Kappa with a BA in Political Economy from Williams College and holds an MBA degree with honors from Columbia Business School.

Kevin V. Dreyer joined Gabelli in 2005 as a research analyst covering companies within the consumer sector. Currently he is a Managing Director and Co-Chief Investment Officer for GAMCO Investors, Inc.’s Value team. In addition, he serves as a portfolio manager of Gabelli Funds, LLC and manages several funds within the Gabelli/GAMCO Fund Complex. Mr. Dreyer received a BSE from the University of Pennsylvania and an MBA degree from Columbia Business School.

Ian Lapey has been the portfolio manager of The Gabelli Global Financial Services Fund since inception of the investment strategy on October 1, 2018 and a portfolio manager of Gabelli Funds, LLC. Prior to joining Gabelli, Mr. Lapey was a research analyst and partner at Moerus Capital Management LLC. Prior to joining Moerus, he was a partner, research analyst, and a portfolio manager at Third Avenue Management. Mr. Lapey holds an MBA in Finance and Statistics from the Stern School of Business at New York University. He also holds a Master’s degree in Accounting from Northeastern University and a BA in Economics from Williams College.

Ms. Melody Prenner Bryant joined GAMCO Investors, Inc. in September 2018 and is a portfolio manager of Gabelli Funds, LLC. She has almost thirty years of experience as a portfolio manager. Most recently, Ms. Prenner Bryant was a managing director and chief investment officer for Trevor Stewart Burton & Jacobsen Inc., a New York based registered investment adviser. She has held senior and portfolio management positions at Neuberger Berman, LLC, John A. Levin & Co., and Kempner Asset Management. Ms. Prenner Bryant received her BA in Political Science from The State University of New York at Binghamton and attended the Leonard N. Stern School of Business, New York University.

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

GABELLI ESG FUND, INC.

One Corporate Center

Rye, New York 10580-1422

t 800-GABELLI (800-422-3554)

f 914-921-5118

e info@gabelli.com

GABELLI.COM

Net Asset Value per share available daily

by calling 800-GABELLI after 7:00 P.M.

BOARD OF DIRECTORS

Mario J. Gabelli, CFA

Chairman and Chief

Executive Officer,

GAMCO Investors, Inc.

Executive Chairman,

Associated Capital Group, Inc.

Clarence A. Davis

Former Chief

Executive Officer,

Nestor, Inc.

Vincent D. Enright

Former Senior Vice

President and

Chief Financial Officer,

KeySpan Corp.

William F. Heitmann

Former Senior Vice

President of Finance,

Verizon Communications, Inc.

Anthonie C. van Ekris

Chairman,

BALMAC International, Inc.

OFFICERS

Bruce N. Alpert

President

John C. Ball

Treasurer

Agnes Mullady

Vice President

Andrea R. Mango

Secretary

Richard J. Walz

Chief Compliance Officer

DISTRIBUTOR

G.distributors, LLC

CUSTODIAN

The Bank of New York Mellon

TRANSFER AGENT AND

DIVIDEND DISBURSING AGENT

DST Asset Manager

Solutions, Inc.

LEGAL COUNSEL

Paul Hastings LLP

This report is submitted for the general information of the shareholders of Gabelli ESG Fund, Inc. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.

GAB1794Q119AR

Item 2. Code of Ethics.

(a) The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

(c) There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description.

(d) The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions.

Item 3. Audit Committee Financial Expert.

As of the end of the period covered by the report, the registrant’s board of directors has determined that Clarence A. Davis and Vincent D. Enright are qualified to serve as audit committee financial experts serving on its audit committee and that they are “independent,” as defined by Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

Audit Fees

(a) The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $23,923 for 2018 and $23,923 for 2019.

Audit-Related Fees

(b) The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 for 2018 and $0 for 2019.

Tax Fees

(c) The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $3,970 for 2018 and

$3,970 for 2019. Tax fees represent tax compliance services provided in connection with the review of the Registrant’s tax returns.

All Other Fees

(d) The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2018 and $0 for 2019.

(e)(1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

Pre-Approval Policies and Procedures. The Audit Committee (“Committee”) of the registrant is responsible for pre-approving (i) all audit and permissible non-audit services to be provided by the independent registered public accounting firm to the registrant and (ii) all permissible non-audit services to be provided by the independent registered public accounting firm to the Adviser, Gabelli Funds, LLC, and any affiliate of Gabelli Funds, LLC (“Gabelli”) that provides services to the registrant (a “Covered Services Provider”) if the independent registered public accounting firm’s engagement related directly to the operations and financial reporting of the registrant. The Committee may delegate its responsibility to pre-approve any such audit and permissible non-audit services to the Chairperson of the Committee, and the Chairperson must report to the Committee, at its next regularly scheduled meeting after the Chairperson’s pre-approval of such services, his or her decision(s). The Committee may also establish detailed pre-approval policies and procedures for pre-approval of such services in accordance with applicable laws, including the delegation of some or all of the Committee’s pre-approval responsibilities to the other persons (other than Gabelli or the registrant’s officers). Pre-approval by the Committee of any permissible non-audit services is not required so long as: (i) the permissible non-audit services were not recognized by the registrant at the time of the engagement to be non-audit services; and (ii) such services are promptly brought to the attention of the Committee and approved by the Committee or Chairperson prior to the completion of the audit.

(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:

(b) N/A

(c) 0%

(d) N/A

(f) The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.

(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $0 for 2018 and $0 for 2019.

(h) The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 11. Controls and Procedures.

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.

(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3) Not applicable.

(a)(4) Not applicable.

(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)  Gabelli ESG Fund, Inc. (formerly, The Gabelli SRI Fund, Inc.)                      

By (Signature and Title)*     /s/ Bruce N. Alpert                                                                     

                                                   Bruce N. Alpert, Principal Executive Officer

Date    6/04/2019                                                                                                                      

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*    /s/ Bruce N. Alpert                                                                       

                                                  Bruce N. Alpert, Principal Executive Officer

Date     6/04/2019                                                                                                                       

By (Signature and Title)*    /s/ John C. Ball                                                                             

                                                  John C. Ball, Principal Financial Officer and Treasurer

Date    6/04/2019                                                                                                                        

^* Print the name and title of each signing officer under his or her signature.