UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

INVESTMENT COMPANY ACT FILE NUMBER 811-21593

KAYNE ANDERSON MLP INVESTMENT COMPANY

(Exact name of registrant as specified in charter)

717 Texas Avenue, Suite 3100, Houston, Texas		77002
(Address of principal executive offices)		(Zip code)

David Shladovsky, Esq.

KA Fund Advisors, LLC, 717 Texas Avenue, Suite 3100, Houston, Texas 77002

(Name and address of agent for service)

Registrant’s telephone number, including area code:				(713) 493-2020

Date of fiscal year end:		November 30, 2009
Date of reporting period:		August 31, 2009

Item 1: Schedule of Investments

KAYNE ANDERSON MLP INVESTMENT COMPANY
SCHEDULE OF INVESTMENTS
AUGUST 31, 2009
(amounts in 000’s except number of option contracts)
(UNAUDITED)

		No. of
Description		Shares/Units				Value
Long-Term Investments — 146.0%
Equity Investments(a) — 141.4%
Midstream MLP(b) — 91.6%
Boardwalk Pipeline Partners, LP			369				$       8,648
Buckeye Partners, L.P.			736				34,555
Copano Energy, L.L.C.			3,370				52,329
Crosstex Energy, L.P.(c)			3,084				12,088
DCP Midstream Partners, LP			618				13,842
Duncan Energy Partners L.P.			262				4,758
El Paso Pipeline Partners, L.P.			538				10,456
Enbridge Energy Partners, L.P.(d)			1,214				52,040
Energy Transfer Partners, L.P.			1,812				73,459
Enterprise Products Partners L.P.			3,829				103,379
Exterran Partners, L.P.			905				14,142
Global Partners LP			1,376				30,356
Holly Energy Partners, L.P.			278				10,184
Magellan Midstream Partners, L.P.			957				34,664
MarkWest Energy Partners, L.P.			2,733				56,468
Martin Midstream Partners L.P.			341				8,182
ONEOK Partners, L.P.(d)			632				31,661
Plains All American Pipeline, L.P.(e)			2,876				136,455
Quicksilver Gas Services LP			248				3,643
Regency Energy Partners LP			2,858				46,521
Spectra Energy Partners, LP			297				6,881
Targa Resources Partners LP			242				4,093
TC PipeLines, LP			836				30,521
TEPPCO Partners, L.P.			183				6,039
TransMontaigne Partners L.P.			233				6,273
Western Gas Partners, LP			815				13,735
Williams Partners L.P.			1,565				31,066
Williams Pipeline Partners L.P.			548				10,121
							846,559
Propane MLP — 9.7%
Inergy, L.P.			3,216				89,668
Shipping MLP — 6.1%
Capital Product Partners L.P.			785				6,207
K-Sea Transportation Partners L.P.			582				11,157
Navios Maritime Partners L.P.			472				5,521
OSG America L.P.			624				5,225
Teekay LNG Partners L.P.			907				20,817
Teekay Offshore Partners L.P.			534				7,511
							56,438

KAYNE ANDERSON MLP INVESTMENT COMPANY
SCHEDULE OF INVESTMENTS
AUGUST 31, 2009
(amounts in 000’s except number of option contracts)
(UNAUDITED)

		No. of
Description		Shares/Units				Value
Coal MLP — 0.5%
Alliance Resource Partners, L.P.			87				$      2,870
Clearwater Natural Resources, LP — Unregistered(c)(f)(g)			(h)				—
Penn Virginia Resource Partners, L.P.			87				1,292
							4,162
Upstream MLP — 0.3%
Legacy Reserves LP			206				3,165
MLP Affiliates(b) — 12.3%
Enbridge Energy Management, L.L.C.(i)			625				26,312
Kinder Morgan Management, LLC(d)(i)			1,844				87,282
							113,594
General Partner MLP(b) — 20.3%
Alliance Holdings GP L.P.			629				12,742
CNR GP Holdco, LLC — Unregistered(c)(f)(g)(j)			N/A				—
Energy Transfer Equity, L.P.			2,490				66,949
Enterprise GP Holdings L.P.			1,243				34,796
Inergy Holdings, L.P.			67				2,940
Magellan Midstream Holdings, L.P.			3,224				70,188
							187,615
Other MLP — 0.6%
Calumet Specialty Products Partners, L.P.			373				5,283
Total Equity Investments (Cost — $1,152,730)							1,306,484

KAYNE ANDERSON MLP INVESTMENT COMPANY
SCHEDULE OF INVESTMENTS
AUGUST 31, 2009
(amounts in 000’s except number of option contracts)
(UNAUDITED)

		Interest				Maturity				Principal
Description		Rate				Date				Amount				Value
Energy Debt Investments — 4.6%
Coal MLP — 0.6%
Clearwater Natural Resources, LP(c)(f)(g)			(k)				12/3/09			$	13,601				$       6,120
Midstream MLP — 2.0%
El Paso Corporation			7.75	%			1/15/32				5,000				4,452
MarkWest Energy Partners, L.P.			8.75				4/15/18				6,149				5,842
MarkWest Energy Partners, L.P.			6.88				11/1/14				3,500				3,185
Regency Energy Partners LP			9.38				6/1/16				5,000				5,000
															18,479
Upstream MLP(b) — 2.0%
Atlas Energy Resources, LLC			12.13				8/1/17				9,000				9,495
Atlas Energy Resources, LLC			10.75				2/1/18				8,747				8,834
															18,329
Total Energy Debt Investments (Cost — $46,472)															42,928
Total Long-Term Investments (Cost — $1,199,202)															1,349,412
Short-Term Investment — 0.2%
Repurchase Agreement — 0.2%
J.P. Morgan Securities Inc. (Agreement dated 8/31/09 to be repurchased at $1,700), collateralized by $1,750 in U.S. Treasury note (Cost — $1,700)			0.12				9/1/09								1,700
Total Investments — 146.2% (Cost — $1,200,902)															1,351,112

KAYNE ANDERSON MLP INVESTMENT COMPANY
SCHEDULE OF INVESTMENTS
AUGUST 31, 2009
(amounts in 000’s except number of option contracts)
(UNAUDITED)

		No. of
Description		Contracts				Value
Liabilities
Option Contracts Written(c)
Midstream MLP
Enbridge Energy Partners, L.P., call option expiring 9/19/09 @ $40.00			500			$	(137	)
Enbridge Energy Partners, L.P., call option expiring 9/19/09 @ $45.00			500				(10	)
ONEOK Partners, L.P., call option expiring 9/19/09 @ $50.00			1,000				(85	)
Total Call Option Contracts Written (Premiums Received — $231)							(232	)
Senior Unsecured Notes							(304,000	)
Unrealized Depreciation on Interest Rate Swap Contracts							(1,536	)
Revolving Credit Line							(2,000	)
Deferred Taxes							(19,330	)
Other Liabilities							(28,276	)
Total Liabilities							(355,374	)
Other Assets							3,337
Total Liabilities in Excess of Other Assets							(352,037	)
Preferred Stock at Redemption Value							(75,000	)
Net Assets Applicable to Common Stockholders						$	924,075

From time to time, certain of the Company’s investments may be restricted as to resale. For instance, private investments that are not registered under the Securities Act of 1933, as amended, and cannot, as a result, be offered for public sale in a non-exempt transaction without first being registered. In other cases, certain of the Company’s investments have restrictions such as lock-up agreements that preclude the Company from offering these securities for public sale.

At August 31, 2009, the Company held the following restricted investments:

						Number of
						Units,
						Principal														Fair Value								Percent of
				Type of		($)				Acquisition		Cost				Fair				per Unit/				Percent of				Total
Investment		Security		Restriction		(in 000s)				Date		Basis				Value				Warrant				Net Assets				Assets
Clearwater Natural Resources, L.P.		Common Units		(1)			3,889			(2)		$	72,860			$	—				$   —				—	%			—	%
Clearwater Natural Resources, L.P.		Unsecured Term Loan		(1)			$   13,601			(3)			13,689				6,120				n/a				0.7				0.5
Clearwater Natural Resources, L.P.		Deferred Participation Units		(1)			150			3/5/2008			—				—				—				—				—
Clearwater Natural Resources, L.P.		Warrants		(1)			34			9/29/2008			—				—				—				—				—
CNR GP Holdco, LLC		LLC Interests		(1)			n/a			3/5/2008			1,083				—				—				—				—
Total of securities valued in accordance with procedures established by the Board of Directors(4)												$	87,632			$	6,120								0.7	%			0.5	%
Atlas Energy Resources, LLC		Senior Notes		(5)			$   8,747			(6)		$	7,128			$	8,834				n/a				1.0	%			0.7	%
MarkWest Energy Partners, L.P.		Senior Notes		(5)			$   3,500			(6)			2,904				3,185				n/a				0.3				0.2
Regency Energy Partners LP		Senior Notes		(5)			$   5,000			(6)			5,025				5,000				n/a				0.5				0.4
Total of securities valued by prices provided by market maker or independent pricing services												$	15,057			$	17,019								1.8	%			1.3	%
Total of all restricted securities												$	102,689			$	23,139								2.5	%			1.8	%

At August 31, 2009, the cost basis of investments for federal income tax purposes was $1,074,711. At August 31, 2009, gross unrealized appreciation and depreciation of investments and options for federal income tax purposes were as follows:

Gross unrealized appreciation of investments		$	398,679
Gross unrealized depreciation of investments			(122,277	)
Net unrealized appreciation		$	276,402

The identified cost basis for federal tax purposes is estimated based on information available from the Company’s portfolio companies. In some cases, this information is very limited. Accordingly, the actual cost basis may prove higher or lower than the estimated cost basis included in this footnote.

 

SFAS No. 157. In September 2006, the FASB issued Statement on Financial Accounting Standards, “Fair Value Measurements” (“SFAS No. 157”). This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements.

As of December 1, 2007, the Company adopted SFAS No. 157. The Company has performed an analysis of all existing investments and derivative instruments to determine the significance and character of all inputs to their fair value determination. Based on this assessment, the adoption of this standard did not have any material effect on the Company’s net asset value. However, the adoption of the standard does require the Company to provide additional disclosures about the inputs used to develop the measurements and the effect of certain measurements on changes in net assets for the reportable periods as contained in the Company’s periodic filings. Further, valuation techniques to measure fair value shall maximize the use of relevant observable inputs that do not require significant adjustment and minimize the use of unobservable inputs.

SFAS No. 157 establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value into the following three broad categories.

	•		Level 1 — Quoted unadjusted prices for identical instruments in active markets to which the Company has access at the date of measurement.
	•		Level 2 — Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets. Level 2 inputs are those in markets for which there are few transactions, the prices are not current, little public information exists or instances where prices vary substantially over time or among brokered market makers.
	•		Level 3 — Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Unobservable inputs are those inputs that reflect the Company’s own assumptions that market participants would use to price the asset or liability based on the best available information.

The following table presents the Company’s assets measured at fair value on a recurring basis at August 31, 2009. Note that the valuation levels below are not necessarily an indication of the risk or liquidity associated with the underlying investment. For instance, the Company’s repurchase agreements, which are collateralized by U.S. Treasury notes, are generally high quality and liquid; however, the Company reflects these repurchase agreements as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.

						Quoted Prices in				Prices with Other				Unobservable
						Active Markets				Observable Inputs				Inputs
		Total				(Level 1)				(Level 2)				(Level 3)(1)
Assets at Fair Value
Investments			$ 1,349,412				$  1,306,484				$  36,808				$  6,120
Repurchase Agreement			1,700				—				1,700				—
Total assets at fair value			$ 1,351,112				$  1,306,484				$  38,508				$  6,120
Liabilities at Fair Value
Unrealized depreciation on interest rate swaps			$        1,536				—				$    1,536				—
Option contracts written			232				—				232				—
Total liabilities at fair value			$        1,768				—				$    1,768				—

The following table presents the Company’s assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3) at November 30, 2008 and at August 31, 2009.

		Long-Term
Assets at Fair Value Using Unobservable Inputs (Level 3)		Investments
Balance — November 30, 2008			$  32,987
Transfers out of Level 3			—
Realized gains/(losses)			—
Unrealized losses, net			(26,867	)
Purchases, issuances or settlements			—
Balance — August 31, 2009			$   6,120

The $26,867 of unrealized losses presented in the table above relate to investments that are still held at August 31, 2009.

The Company did not have any liabilities that were measured at fair value on a recurring basis using significant unobservable inputs (Level 3) at November 30, 2008 and at August 31, 2009.

 

In March 2008, the FASB issued SFAS No. 161, Disclosures about Derivative Instruments and Hedging Activities. This standard amends and expands the disclosure requirements of SFAS No. 133, Accounting for Derivative Instruments and Hedging Activities, to illustrate how and why an entity uses derivative instruments; how derivative instruments and related hedged items are accounted for under SFAS No. 133; and how derivative instruments and related hedged items affect an entity’s financial position, financial performance and cash flows. SFAS No. 161 is effective for financial statements issued for fiscal years beginning after November 15, 2008 and interim periods within those fiscal years. As of December 1, 2008, the Company adopted SFAS No. 161.

The following table sets forth the fair value of the Company’s derivative instruments.

Derivatives Not Accounted for as Hedging				Fair Value as of
Instruments under SFAS No. 133		Statement of Assets and Liabilities Location		August 31, 2009
Liabilities
Call options		Call option contracts written			$(232)
Interest rate swap contracts		Unrealized depreciation on interest rate swap contracts			(1,536)
					$(1,768)

The following tables set forth the effect of derivative instruments on the Statement of Operations.

				For the Nine Months Ended
				August 31, 2009
				Net Realized				Change in
				Losses on				Unrealized Gains
Derivatives not accounted for as				Derivatives				on Derivatives
hedging instruments		Location of Gains/(Losses)		Recognized in				Recognized in
under SFAS No. 133		on Derivatives Recognized in Income		Income				Income
Call options		Options			$   (1,841	)			$    598
Interest rate swap contracts		Payments on interest rate swap contracts			(14,070	)			7,341
					$ (15,911	)			$ 7,939

Securities valuation policies and other investment related disclosures are hereby incorporated by reference to the Company’s semi-annual report previously filed with the Securities and Exchange Commission on form N-CSR on July 27, 2009 with a file number 811-21593.

Other information regarding the Company is available in the Company’s most recent annual report. This information is also available on the Company’s website at www.kaynefunds.com; or on the website of the Securities and Exchange Commission, www.sec.gov.

Item 2: Controls and Procedures

     (a) As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)), were effective based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities and Exchange Act of 1934.

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

Item 3: Exhibits

1.

The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.

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.

		KAYNE ANDERSON MLP INVESTMENT COMPANY
		/s/ Kevin S. McCarthy
		Name:		Kevin S. McCarthy
		Title:		Chairman of the Board of Directors, President and Chief Executive Officer
		Date:		October 29, 2009

          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.

		/s/ Kevin S. McCarthy
		Name:		Kevin S. McCarthy
		Title:		Chairman of the Board of Directors, President and Chief Executive Officer
		Date:		October 29, 2009
		/s/ Terry A. Hart
		Name:		Terry A. Hart
		Title:		Chief Financial Officer and Treasurer
		Date:		October 29, 2009