Natural flavors are an incredibly broad category of ingredients that are extracted from plant or animal sources rather than synthesized from scratch. If you see natural flavors on the label, you should try and find out more about what exactly goes into flavoring that particular product.
"Natural flavors" is a broad category that shows up often on ingredient labels. But what, exactly, does it mean?
Natural flavors are distinguished from artificial flavors by their source. A natural flavor is one that's extracted from the "natural world" - according to the Pure Food and Drug Act of 1986, they can come from plants, animals, or yeast. Artificial flavors are synthesized in a lab; natural flavors get their start in a living thing outside the lab.
Most natural flavors, however, do come to you via a laboratory. When you buy a carton of orange juice, for example, some of the "natural flavors" on the label got their start in an orange grove. Those oranges were shipped to a food processing facility, where certain chemical compounds were gleaned from the orange, purified, and concentrated. They were then mixed in precise ratios with other natural (and sometimes synthetic) flavors for a consistent taste and added back into the orange juice.
Natural flavors do not necessarily come from places that you'd expect. A common example is castoreum - a natural flavor that tastes like vanilla. It's not extracted from vanilla beans, however. Instead, castoreum is harvested from the anal glands of a beaver. Like many natural flavors, it's difficult and expensive to produce in large quantities.
On a molecular level, artificial flavors can be identical or near-identical to natural ones. The difference isn't in their structure - it's whether they were synthesized or extracted. Moreover, scientists called "flavorists" often mix together dozens of natural and artificial flavors to achieve a certain taste. Natural and artificial flavors aren't just chemically similar to one another; they're often mixed together.
Whether or not a natural flavor is bad for you depends on, well, the flavor in question. You should regard ingredient labels which list natural flavors with a certain amount of scrutiny - they're not, as discussed above, meaningfully different from artificial flavors in content; what distinguishes them is their source. This doesn't mean that natural flavors are bad for you; it means that they're a very general category that may warrant further investigation on your part to learn what goes into flavoring a particular food.