-----BEGIN PRIVACY-ENHANCED MESSAGE-----
Proc-Type: 2001,MIC-CLEAR
Originator-Name: webmaster@www.sec.gov
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<SEC-DOCUMENT>0001140361-07-023300.txt : 20071203
<SEC-HEADER>0001140361-07-023300.hdr.sgml : 20071203
<ACCEPTANCE-DATETIME>20071203171531
ACCESSION NUMBER:		0001140361-07-023300
CONFORMED SUBMISSION TYPE:	4
PUBLIC DOCUMENT COUNT:		1
CONFORMED PERIOD OF REPORT:	20071129
FILED AS OF DATE:		20071203
DATE AS OF CHANGE:		20071203

ISSUER:		

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			Vanguard Natural Resources, LLC
		CENTRAL INDEX KEY:			0001384072
		STANDARD INDUSTRIAL CLASSIFICATION:	CRUDE PETROLEUM & NATURAL GAS [1311]
		IRS NUMBER:				000000000
		STATE OF INCORPORATION:			DE
		FISCAL YEAR END:			1231

	BUSINESS ADDRESS:	
		STREET 1:		7500 SAN FELIPE
		STREET 2:		SUITE 440
		CITY:			HOUSTON
		STATE:			TX
		ZIP:			77063
		BUSINESS PHONE:		832-327-2259

	MAIL ADDRESS:	
		STREET 1:		7500 SAN FELIPE
		STREET 2:		SUITE 440
		CITY:			HOUSTON
		STATE:			TX
		ZIP:			77063

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	Vanguard Natural Resrouces LLC
		DATE OF NAME CHANGE:	20061219

REPORTING-OWNER:	

	OWNER DATA:	
		COMPANY CONFORMED NAME:			LEHMAN BROTHERS HOLDINGS INC
		CENTRAL INDEX KEY:			0000806085
		STANDARD INDUSTRIAL CLASSIFICATION:	SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211]
		STATE OF INCORPORATION:			DE
		FISCAL YEAR END:			1130

	FILING VALUES:
		FORM TYPE:		4
		SEC ACT:		1934 Act
		SEC FILE NUMBER:	001-33756
		FILM NUMBER:		071281295

	BUSINESS ADDRESS:	
		STREET 1:		LEHMAN BROTHERS
		STREET 2:		745 SEVENTH AVENUE
		CITY:			NEW YORK
		STATE:			NY
		ZIP:			10019
		BUSINESS PHONE:		2125267000

	MAIL ADDRESS:	
		STREET 1:		LEHMAN BROTHERS
		STREET 2:		745 SEVENTH AVENUE
		CITY:			NEW YORK
		STATE:			NY
		ZIP:			10019

	FORMER NAME:	
		FORMER CONFORMED NAME:	SHEARSON LEHMAN HUTTON HOLDINGS INC
		DATE OF NAME CHANGE:	19901017
</SEC-HEADER>
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<TYPE>4
<SEQUENCE>1
<FILENAME>doc1.xml
<DESCRIPTION>FORM 4
<TEXT>
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<ownershipDocument>

    <schemaVersion>X0202</schemaVersion>

    <documentType>4</documentType>

    <periodOfReport>2007-11-29</periodOfReport>

    <notSubjectToSection16>0</notSubjectToSection16>

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        <issuerCik>0001384072</issuerCik>
        <issuerName>Vanguard Natural Resources, LLC</issuerName>
        <issuerTradingSymbol>VNR</issuerTradingSymbol>
    </issuer>

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            <rptOwnerName>LEHMAN BROTHERS HOLDINGS INC</rptOwnerName>
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            <rptOwnerStreet2></rptOwnerStreet2>
            <rptOwnerCity>NEW YORK</rptOwnerCity>
            <rptOwnerState>NY</rptOwnerState>
            <rptOwnerZipCode>10019</rptOwnerZipCode>
            <rptOwnerStateDescription></rptOwnerStateDescription>
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            <isOfficer>0</isOfficer>
            <isTenPercentOwner>1</isTenPercentOwner>
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            <otherText></otherText>
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                <value>Common Units</value>
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            <transactionDate>
                <value>2007-11-29</value>
            </transactionDate>
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            <transactionCoding>
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                <transactionCode>P</transactionCode>
                <equitySwapInvolved>0</equitySwapInvolved>
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            <transactionTimeliness>
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            <transactionAmounts>
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                <transactionPricePerShare>
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                <transactionAcquiredDisposedCode>
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            <ownershipNature>
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                <transactionPricePerShare>
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                <transactionPricePerShare>
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                <transactionAcquiredDisposedCode>
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        <nonDerivativeTransaction>
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                <transactionShares>
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                <transactionPricePerShare>
                    <value>15.64</value>
                </transactionPricePerShare>
                <transactionAcquiredDisposedCode>
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            </transactionAmounts>
            <postTransactionAmounts>
                <sharesOwnedFollowingTransaction>
                    <value>1153575</value>
                </sharesOwnedFollowingTransaction>
            </postTransactionAmounts>
            <ownershipNature>
                <directOrIndirectOwnership>
                    <value>I</value>
                </directOrIndirectOwnership>
                <natureOfOwnership>
                    <value>By Lehman Brothers MLP Opportunity Fund LP</value>
                    <footnoteId id="F1"/>
                </natureOfOwnership>
            </ownershipNature>
        </nonDerivativeTransaction>
        <nonDerivativeTransaction>
            <securityTitle>
                <value>Common Units</value>
            </securityTitle>
            <transactionDate>
                <value>2007-11-29</value>
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                <transactionFormType>4</transactionFormType>
                <transactionCode>P</transactionCode>
                <equitySwapInvolved>0</equitySwapInvolved>
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            <transactionTimeliness>
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            </transactionTimeliness>
            <transactionAmounts>
                <transactionShares>
                    <value>2225</value>
                </transactionShares>
                <transactionPricePerShare>
                    <value>15.73</value>
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                <transactionAcquiredDisposedCode>
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                <sharesOwnedFollowingTransaction>
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                    <footnoteId id="F1"/>
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        </nonDerivativeTransaction>
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            <transactionCoding>
                <transactionFormType>4</transactionFormType>
                <transactionCode>P</transactionCode>
                <equitySwapInvolved>0</equitySwapInvolved>
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            <transactionTimeliness>
                <value></value>
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            <transactionAmounts>
                <transactionShares>
                    <value>700</value>
                </transactionShares>
                <transactionPricePerShare>
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                </transactionPricePerShare>
                <transactionAcquiredDisposedCode>
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            <postTransactionAmounts>
                <sharesOwnedFollowingTransaction>
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                </sharesOwnedFollowingTransaction>
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            <ownershipNature>
                <directOrIndirectOwnership>
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        <nonDerivativeTransaction>
            <securityTitle>
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            <transactionDate>
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            <transactionCoding>
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                <equitySwapInvolved>0</equitySwapInvolved>
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            <transactionTimeliness>
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            <transactionAmounts>
                <transactionShares>
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                </transactionShares>
                <transactionPricePerShare>
                    <value>16</value>
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                <transactionAcquiredDisposedCode>
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                <transactionPricePerShare>
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                <value>Common Units</value>
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                <transactionCode>P</transactionCode>
                <equitySwapInvolved>0</equitySwapInvolved>
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                <value></value>
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                    <value>300</value>
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                <transactionPricePerShare>
                    <value>15.79</value>
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                <transactionAcquiredDisposedCode>
                    <value>A</value>
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                <directOrIndirectOwnership>
                    <value>I</value>
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                    <footnoteId id="F1"/>
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    <footnotes>
        <footnote id="F1">The Reporting Person disclaims beneficial ownership of the securities reported herein except to the extent of its pecuniary interest therein.</footnote>
    </footnotes>

    <remarks>Joint Filer Information Title of Derivative Securities: Common Stock Issuer &amp;  Ticker Symbol: Vanguard Natural Resources, LLC (VNR) Designated Filer: Lehman Brothers Holdings Inc. 745 Seventh Avenue New York, NY 10019 Other Joint Filer Information: Lehman Brothers MLP Opportunity Associates LLC, 399 Park Avenue New York, NY 10022, a Delaware limited liability company, a direct wholly-owned subsidiary of the Reporting Person and general partner of Lehman Brothers MLP Associates LP. Lehman Brothers MLP Opportunity Associates LP, 399 Park Avenue New York, NY 10022, a Delaware limited partnership, and general partner of Lehman Brothers MLP Opportunity Fund LP. Lehman Brothers MLP Opportunity Fund LP, 399 Park Avenue New York, NY 10022, a Delaware limited partnership.</remarks>

    <ownerSignature>
        <signatureName>/s/ Barrett S. DiPaolo</signatureName>
        <signatureDate>2007-12-03</signatureDate>
    </ownerSignature>
</ownershipDocument>
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</TEXT>
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</SEC-DOCUMENT>
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