More precisely, a chemical or set of chemicals extracted from a natural substance, usually a plant or animal without any chemical modification. If the chemical structure is changed, it's probably then an artificial flavor, although there's probably some leeway here--for instance, something like liquid smoke is a natural flavor, even though you have to burn the wood to get it, which is a chemical change.

Contrast with artificial flavor which is most likely some sort of petrochemical made to simulate the chemical structure of a natural flavor.