Edgar Filing: GABELLI DIVIDEND & INCOME TRUST

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 811-21423
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The Gabelli Dividend & Income Trust
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(Exact name of registrant as specified in charter)

One Corporate Center
Rye, New York 10580-1422
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(Address of principal executive offices) (Zip code)

Bruce N. Alpert
Gabelli Funds, LLC
One Corporate Center
Rye, New York 10580-1422
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(Name and address of agent for service)

registrant's telephone number, including area code: 1-800-422-3554
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Date of fiscal year end: December 31
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Date of reporting period: June 30, 2006
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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, 100 F Street, NE,
Washington, DC 20549. The OMB has reviewed this collection of information under
the clearance requirements of 44 U.S.C. ss. 3507.

ITEM 1. REPORTS TO STOCKHOLDERS.

The Report to Shareholders is attached herewith.

[LOGO]
THE GABELLI
DIVIDEND &
INCOME TRUST

THE GABELLI DIVIDEND & INCOME TRUST

Semi-Annual Report
June 30, 2006

TO OUR SHAREHOLDERS,

The Gabelli Dividend & Income Trust's (the "Fund") total return during the
second quarter was 2.4% on a net asset value ("NAV") basis, compared to a 1.4%
decline for the Standard & Poor's ("S&P") 500 Index. Year to date through June
30, 2006, the Fund's total return was 9.2% on an NAV basis versus a 2.7% gain
for the S&P 500 Index. The Fund's market price rose 2.5% during the second
quarter and 8.8% for the first half of 2006. The Fund's market price on June 30,
2006 was $18.56, which equates to a 15.3% discount to its NAV of $21.90.

Enclosed are the financial statements and the investment portfolio as of
June 30, 2006.

COMPARATIVE RESULTS

--------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS THROUGH JUNE 30, 2006 (a)

SINCE
YEAR TO INCEPTION
QUARTER DATE 1 YEAR (11/28/03)
------- ---- ------ ----------

GABELLI DIVIDEND & INCOME TRUST
NAV RETURN (b) .................................... 2.38% 9.22% 13.42% 11.84%
INVESTMENT RETURN (c) ............................. 2.53 8.81 6.64 3.50
S&P 500 Index ...................................... (1.44) 2.71 8.62 9.26
Dow Jones Industrial Average ....................... 0.93 5.25 11.07 7.64
Nasdaq Composite Index ............................. (7.17) (1.51) 5.60 4.05

(a) RETURNS REPRESENT PAST PERFORMANCE AND DO NOT GUARANTEE FUTURE RESULTS.
INVESTMENT RETURNS AND THE PRINCIPAL VALUE OF AN INVESTMENT WILL
FLUCTUATE. WHEN SHARES ARE SOLD, 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. PERFORMANCE RETURNS FOR
PERIODS LESS THAN ONE YEAR ARE NOT ANNUALIZED. INVESTORS SHOULD CAREFULLY
CONSIDER THE INVESTMENT OBJECTIVES, RISKS, CHARGES, AND EXPENSES OF THE
FUND BEFORE INVESTING. THE DOW JONES INDUSTRIAL AVERAGE IS AN UNMANAGED
INDEX OF 30 LARGE CAPITALIZATION STOCKS. THE S&P 500 AND THE NASDAQ
COMPOSITE INDICES ARE UNMANAGED INDICATORS OF STOCK MARKET PERFORMANCE.
DIVIDENDS ARE CONSIDERED REINVESTED EXCEPT FOR THE NASDAQ COMPOSITE INDEX.

(b) TOTAL RETURNS AND AVERAGE ANNUAL RETURNS REFLECT CHANGES IN NAV AND
REINVESTMENT OF DISTRIBUTIONS AT NAV ON THE EX-DIVIDEND DATE, AND ARE NET
OF EXPENSES. SINCE INCEPTION RETURN BASED ON AN INITIAL NAV OF $19.06.

(c) TOTAL RETURNS AND AVERAGE ANNUAL RETURNS REFLECT CHANGES IN CLOSING MARKET
VALUES ON THE NEW YORK STOCK EXCHANGE AND REINVESTMENT OF DISTRIBUTIONS.
SINCE INCEPTION RETURN IS BASED ON AN INITIAL OFFERING PRICE OF $20.00.
--------------------------------------------------------------------------------

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We have separated the portfolio manager's 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 manager's 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/funds.
--------------------------------------------------------------------------------

THE GABELLI DIVIDEND & INCOME TRUST
SUMMARY OF PORTFOLIO HOLDINGS (UNAUDITED)

The following table presents portfolio holdings as a percent of total
investments as of June 30, 2006:

LONG POSITIONS
Energy and Utilities: Oil ............................................ 14.7%
Repurchase Agreements ................................................ 14.1%
Financial Services ................................................... 13.8%
Energy and Utilities: Integrated ..................................... 11.2%
Telecommunications ................................................... 5.7%
Energy and Utilities: Electric ....................................... 5.2%
U.S. Government Obligations .......................................... 5.0%
Energy and Utilities: Natural Gas .................................... 4.0%
Food and Beverage .................................................... 3.7%
Diversified Industrial ............................................... 3.2%
Health Care .......................................................... 2.5%
Consumer Products .................................................... 2.2%
Equipment and Supplies ............................................... 1.5%
Cable and Satellite .................................................. 1.3%
Entertainment ........................................................ 1.3%
Transportation ....................................................... 1.0%
Specialty Chemicals .................................................. 0.9%
Aerospace ............................................................ 0.9%
Automotive: Parts and Accessories .................................... 0.8%
Metals and Mining .................................................... 0.8%
Broadcasting ......................................................... 0.6%
Agriculture .......................................................... 0.6%
Hotels and Gaming .................................................... 0.6%
Retail ............................................................... 0.6%
Communications Equipment ............................................. 0.5%
Real Estate .......................................................... 0.5%
Business Services .................................................... 0.4%
Energy and Utilities ................................................. 0.4%
Publishing ........................................................... 0.4%
Wireless Communications .............................................. 0.3%
Energy and Utilities: Water .......................................... 0.3%
Machinery ............................................................ 0.2%
Environmental Services ............................................... 0.2%
Automotive ........................................................... 0.2%
Aviation: Parts and Services ......................................... 0.2%
Paper and Forest Products ............................................ 0.1%
Energy and Utilities: Services ....................................... 0.1%
Real Estate Investment Trusts ........................................ 0.0%
Manufactured Housing and Recreational Vehicles ....................... 0.0%
Building and Construction ............................................ 0.0%
-----
100.0%
=====

SHORT POSITIONS
Equipment and Supplies ............................................... (0.0)%
=====

THE GABELLI DIVIDEND & INCOME TRUST (THE "FUND") FILES A COMPLETE SCHEDULE OF
PORTFOLIO HOLDINGS WITH THE SEC FOR THE FIRST AND THIRD QUARTERS OF EACH FISCAL
YEAR ON FORM N-Q, THE LAST OF WHICH WAS FILED FOR THE QUARTER ENDED MARCH 31,
2006. 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-Q IS AVAILABLE ON THE
SEC'S WEBSITE AT WWW.SEC.GOV AND MAY ALSO BE REVIEWED AND COPIED AT THE
COMMISSION'S PUBLIC REFERENCE ROOM IN WASHINGTON, DC. INFORMATION ON THE
OPERATION OF THE PUBLIC REFERENCE ROOM MAY BE OBTAINED BY CALLING
1-800-SEC-0330.

PROXY VOTING

The Fund files Form N-PX with its complete proxy voting record for the 12
months ended June 30th, no later than August 31st 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, (i)
by calling 800-GABELLI (800-422-3554); (ii) by writing to The Gabelli Funds at
One Corporate Center, Rye, NY 10580-1422; and (iii) by visiting the Securities
and Exchange Commission's website at www.sec.gov.

SHAREHOLDER MEETING - MAY 15, 2006 - FINAL RESULTS

The Annual Meeting of Shareholders was held on May 15, 2006 at the
Greenwich Library in Greenwich, Connecticut. At that meeting, common and
preferred shareholders voting together as a single class elected Salvatore M.
Salibello and Edward T. Tokar as Trustees of the Fund. There were 84,684,266
votes and 84,686,945 votes cast in favor of each Trustee and 1,567,833 votes and
1,565,155 votes were withheld, respectively. In addition, preferred shareholders
voting as a single class elected James P. Conn as Trustee. There were 5,214,905
votes cast in favor of Mr. Conn and 115,405 votes withheld.

Mario J. Gabelli, Anthony J. Colavita, Mario d'Urso, Frank J. Fahrenkopf,
Jr., Michael J. Melarkey, Anthonie C. van Ekris, and Salvatore J. Zizza continue
to serve in their capacities as Trustees.

We thank you for your participation and appreciate your continued support.

THE GABELLI DIVIDEND & INCOME TRUST
SCHEDULE OF INVESTMENTS
JUNE 30, 2006 (UNAUDITED)

MARKET
SHARES COST VALUE
-------- ------ --------

COMMON STOCKS -- 77.1%
AEROSPACE -- 0.7%
10,000 Goodrich Corp. .......................... $ 281,823 $ 402,900
30,000 Kaman Corp. ............................. 515,942 546,000
2,000,000 Rolls-Royce Group plc+ .................. 14,847,047 15,311,500
107,600,000 Rolls-Royce Group plc,
Cl. B ................................. 110,290 203,950
-------------- --------------
15,755,102 16,464,350
-------------- --------------
AGRICULTURE -- 0.6%
360,000 Archer-Daniels-Midland Co. .............. 6,003,461 14,860,800
-------------- --------------
AUTOMOTIVE -- 0.2%
100,000 General Motors Corp. .................... 2,825,660 2,979,000
30,000 Navistar International Corp.+ ........... 723,021 738,300
-------------- --------------
3,548,681 3,717,300
-------------- --------------
AUTOMOTIVE: PARTS AND ACCESSORIES -- 0.8%
300,000 Dana Corp. .............................. 2,867,483 792,000
455,000 Genuine Parts Co. ....................... 15,537,978 18,955,300
-------------- --------------
18,405,461 19,747,300
-------------- --------------
AVIATION: PARTS AND SERVICES -- 0.2%
50,000 Sequa Corp., Cl. A+ ..................... 3,632,221 4,075,000
-------------- --------------
BROADCASTING -- 0.1%
100,000 Univision Communications
Inc., Cl. A+ .......................... 3,418,960 3,350,000
-------------- --------------
BUSINESS SERVICES -- 0.4%
500,000 BAA plc ................................. 8,864,609 8,626,588
-------------- --------------
CABLE AND SATELLITE -- 1.3%
50,000 Cablevision Systems Corp.,
Cl. A+ ................................ 747,292 1,072,500
14,200 Cogeco Inc. ............................. 276,997 254,412
115,000 DIRECTV Group Inc.+ ..................... 1,956,083 1,897,500
330,000 EchoStar Communications
Corp., Cl. A+ ......................... 9,966,819 10,167,300
81,734 Liberty Global Inc., Cl. A+ ............. 1,686,985 1,757,281
73,680 Liberty Global Inc., Cl. C+ ............. 1,482,714 1,515,597
279,800 PanAmSat Holding Corp. .................. 6,913,030 6,989,404
195,000 Rogers Communications
Inc., Cl. B ........................... 4,550,823 7,878,000
-------------- --------------
27,580,743 31,531,994
-------------- --------------
COMMUNICATIONS EQUIPMENT -- 0.0%
20,000 Thomas & Betts Corp.+ ................... 629,282 1,026,000
-------------- --------------
CONSUMER PRODUCTS -- 2.2%
329,000 Alberto-Culver Co. ...................... 15,124,233 16,028,880
10,000 Altria Group Inc. ....................... 491,463 734,300
115,000 Avon Products Inc. ...................... 3,434,698 3,565,000
400,000 Body Shop International plc ............. 2,094,367 2,215,359

MARKET
SHARES COST VALUE
-------- ------ --------

33,000 Eastman Kodak Co. ....................... $ 837,383 $ 784,740
135,000 Gallaher Group plc, ADR ................. 6,687,853 8,442,900
1,000 Kimberly-Clark Corp. .................... 53,184 61,700
180,000 Mattel Inc. ............................. 3,029,526 2,971,800
100,000 Procter & Gamble Co. .................... 5,296,457 5,560,000
700,000 Swedish Match AB ........................ 7,085,845 11,282,871
-------------- --------------
44,135,009 51,647,550
-------------- --------------
DIVERSIFIED INDUSTRIAL -- 2.9%
150,000 BOC Group plc ........................... 4,097,763 4,385,414
180,000 Bouygues SA ............................. 6,242,882 9,255,209
140,000 Cooper Industries Ltd.,
Cl. A ................................. 9,009,200 13,008,800
500,000 General Electric Co. .................... 16,320,036 16,480,000
240,000 Honeywell
International Inc. .................... 8,075,152 9,672,000
80,000 ITT Industries Inc. ..................... 3,501,872 3,960,000
116,000 Sonoco Products Co. ..................... 2,882,932 3,671,400
1,000 Textron Inc. ............................ 51,500 92,180
1,051,000 Tomkins plc ............................. 5,080,148 5,592,493
3,193 United States Steel Corp. ............... 88,510 223,879
120,000 WHX Corp.+ .............................. 1,191,265 1,104,000
-------------- --------------
56,541,260 67,445,375
-------------- --------------
ENERGY AND UTILITIES: ELECTRIC -- 5.2%
30,000 Allegheny Energy Inc.+ .................. 438,040 1,112,100
120,000 ALLETE Inc. ............................. 3,983,448 5,682,000
310,000 American Electric
Power Co. Inc. ........................ 9,600,039 10,617,500
410,000 DPL Inc. ................................ 8,135,720 10,988,000
17,500 DTE Energy Co. .......................... 667,957 712,950
270,000 Duquesne Light
Holdings Inc. ......................... 4,812,167 4,438,800
280,000 Electric Power
Development Co. Ltd. .................. 6,816,389 10,667,599
230,000 FPL Group Inc. .......................... 7,915,075 9,517,400
600,000 Great Plains Energy Inc. ................ 18,388,421 16,716,000
600,000 Pepco Holdings Inc. ..................... 11,391,942 14,148,000
240,000 Pinnacle West
Capital Corp. ......................... 9,369,027 9,578,400
490,000 Southern Co. ............................ 14,616,327 15,704,500
390,000 Unisource Energy Corp. .................. 10,038,586 12,148,500
-------------- --------------
106,173,138 122,031,749
-------------- --------------
ENERGY AND UTILITIES: INTEGRATED -- 11.2%
12,000 Alliant Energy Corp. .................... 305,115 411,600
400,000 Ameren Corp. ............................ 18,188,356 20,200,000
50,000 Avista Corp. ............................ 926,534 1,141,500
11,000 Black Hills Corp. ....................... 335,198 377,630
33,000 CH Energy Group Inc. .................... 1,524,587 1,584,000
108,000 Chubu Electric
Power Co. Inc. ........................ 2,458,019 2,916,113

See accompanying notes to financial statements.

THE GABELLI DIVIDEND & INCOME TRUST
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2006 (UNAUDITED)

MARKET
SHARES COST VALUE
-------- ------ --------

COMMON STOCKS (CONTINUED)
ENERGY AND UTILITIES: INTEGRATED (CONTINUED)
121,500 Chugoku Electric
Power Co. Inc. ........................ $ 2,194,052 $ 2,569,294
278,000 CONSOL Energy Inc. ...................... 3,210,102 12,988,160
200,000 Consolidated Edison Inc. ................ 8,201,972 8,888,000
20,000 Dominion Resources Inc. ................. 1,455,866 1,495,800
695,000 Duke Energy Corp. ....................... 16,551,069 20,412,150
430,000 Edison SpA .............................. 1,002,090 863,487
200,000 El Paso Corp. ........................... 2,048,265 3,000,000
20,000 Empire District Electric Co. ............ 443,360 411,000
385,000 Endesa SA ............................... 9,834,687 13,389,292
75,000 Endesa SA, ADR .......................... 2,469,172 2,409,000
300,000 Enel SpA ................................ 2,324,318 2,586,240
47,000 Enel SpA, ADR ........................... 1,839,336 2,021,940
139,500 Energy East Corp. ....................... 3,166,127 3,338,235
220,000 FirstEnergy Corp. ....................... 7,886,725 11,926,200
130,000 Hawaiian Electric
Industries Inc. ....................... 3,060,314 3,628,300
250,000 Hera SpA ................................ 552,073 831,383
121,500 Hokkaido Electric
Power Co. Inc. ........................ 2,282,208 2,882,493
121,500 Hokuriku Electric
Power Co. ............................. 2,131,359 2,813,483
121,500 Kansai Electric
Power Co. Inc. ........................ 2,333,021 2,717,931
80,500 Korea Electric
Power Corp., ADR ...................... 1,181,180 1,526,280
121,500 Kyushu Electric
Power Co. Inc. ........................ 2,374,466 2,824,100
24,500 Maine & Maritimes Corp. ................. 715,926 382,200
10,000 MGE Energy Inc. ......................... 354,894 311,500
35,102 National Grid plc, ADR .................. 1,588,562 1,897,614
255,000 NiSource Inc. ........................... 5,329,541 5,569,200
620,000 NSTAR ................................... 14,807,368 17,732,000
500,000 OGE Energy Corp. ........................ 12,037,779 17,515,000
40,000 Ormat Technologies Inc. ................. 600,000 1,526,000
330,000 Progress Energy Inc. .................... 14,816,426 14,147,100
300,000 Public Service Enterprise
Group Inc. ............................ 18,762,100 19,836,000
174,603 Scottish Power plc, ADR ................. 6,417,653 7,532,373
121,500 Shikoku Electric
Power Co. Inc. ........................ 2,264,565 2,723,239
15,000 TECO Energy Inc. ........................ 255,758 224,100
121,500 Tohoku Electric
Power Co. Inc. ........................ 2,112,763 2,664,846
108,000 Tokyo Electric
Power Co. Inc. ........................ 2,545,172 2,982,174
2,000 TXU Corp. ............................... 28,289 119,580
71,000 Vectren Corp. ........................... 1,798,052 1,934,750
470,000 Westar Energy Inc. ...................... 9,309,271 9,893,500

MARKET
SHARES COST VALUE
-------- ------ --------

90,000 Wisconsin Energy Corp. .................. $ 2,844,518 $ 3,627,000
150,000 WPS Resources Corp. ..................... 6,859,066 7,440,000
720,000 Xcel Energy Inc. ........................ 12,423,264 13,809,600
-------------- --------------
216,150,538 262,021,387
-------------- --------------
ENERGY AND UTILITIES: NATURAL GAS -- 4.0%
8,500 AGL Resources Inc. ...................... 231,031 324,020
102,000 Atmos Energy Corp. ...................... 2,539,709 2,846,820
14,800 Delta Natural Gas Co. Inc. .............. 374,076 362,748
6,000 Energen Corp. ........................... 124,550 230,460
500,000 KeySpan Corp. ........................... 18,605,417 20,200,000
20,000 Kinder Morgan Energy
Partners LP ........................... 824,553 919,200
50,000 Kinder Morgan Inc. ...................... 4,975,950 4,994,500
60,000 Laclede Group Inc. ...................... 1,690,312 2,061,600
300,000 National Fuel Gas Co. ................... 7,226,378 10,542,000
215,000 Nicor Inc. .............................. 7,320,919 8,922,500
220,000 ONEOK Inc. .............................. 5,480,182 7,488,800
270,000 Peoples Energy Corp. .................... 11,217,023 9,695,700
300,000 SEMCO Energy Inc.+ ...................... 1,686,087 1,668,000
200,000 Sempra Energy ........................... 5,955,980 9,096,000
30,000 South Jersey Industries Inc. ............ 657,687 821,700
70,000 Southern Union Co. ...................... 1,656,784 1,894,200
180,000 Southwest Gas Corp. ..................... 4,320,420 5,641,200
100,000 Western Gas Resources Inc. .............. 5,969,750 5,985,000
-------------- --------------
80,856,808 93,694,448
-------------- --------------
ENERGY AND UTILITIES: OIL -- 14.7%
14,000 Anadarko Petroleum Corp. ................ 391,850 667,660
40,000 Apache Corp. ............................ 1,905,219 2,730,000
20,000 Baker Hughes Inc. ....................... 759,763 1,637,000
46,900 BG Group plc, ADR ....................... 1,893,244 3,136,672
160,000 BP plc, ADR ............................. 7,479,063 11,137,600
40,000 Cameron
International Corp.+ .................. 1,103,787 1,910,800
141,817 Chesapeake Energy Corp. ................. 2,453,634 4,289,964
319,888 Chevron Corp. ........................... 18,621,240 19,852,250
1,000 Cimarex Energy Co. ...................... 28,300 43,000
420,996 ConocoPhillips .......................... 21,244,394 27,587,868
75,000 Devon Energy Corp. ...................... 3,238,390 4,530,750
290,000 Diamond Offshore
Drilling Inc. ......................... 16,562,002 24,339,700
187,500 Eni SpA, ADR ............................ 6,854,713 11,015,625
225,000 Exxon Mobil Corp. ....................... 10,427,149 13,803,750
270,000 Halliburton Co. ......................... 14,616,168 20,036,700
30,000 Hess Corp. .............................. 830,468 1,585,500
460,000 Kerr-McGee Corp. ........................ 23,676,852 31,901,000
297,000 Marathon Oil Corp. ...................... 14,194,073 24,740,100
190,000 Murphy Oil Corp. ........................ 9,634,839 10,613,400
4,000 Nabors Industries Ltd.+ ................. 97,350 135,160
1,000 Niko Resources Ltd. ..................... 57,455 56,472

See accompanying notes to financial statements.

THE GABELLI DIVIDEND & INCOME TRUST
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2006 (UNAUDITED)

MARKET
SHARES COST VALUE
-------- ------ --------

COMMON STOCKS (CONTINUED)
ENERGY AND UTILITIES: OIL (CONTINUED)
5,000 Noble Corp. ............................. $ 254,820 $ 372,100
190,000 Occidental Petroleum Corp. .............. 13,423,052 19,484,500
14,000 Oceaneering
International Inc.+ ................... 390,875 641,900
30,000 PetroChina Co. Ltd., ADR ................ 2,256,659 3,239,100
335,000 Remington Oil &
Gas Corp.+ ............................ 14,908,639 14,729,950
280,000 Repsol YPF SA, ADR ...................... 5,930,532 7,856,800
200,000 Royal Dutch Shell plc,
Cl. A, ADR ............................ 9,567,840 13,396,000
120,000 Schlumberger Ltd. ....................... 3,977,835 7,813,200
1,000 Seitel Inc.+ ............................ 1,285 3,560
940,000 Statoil ASA, ADR ........................ 13,338,307 26,808,800
200,000 Sunoco Inc. ............................. 8,156,500 13,858,000
200,000 Total SA, ADR ........................... 8,718,885 13,104,000
80,000 Transocean Inc.+ ........................ 4,506,519 6,425,600
-------------- --------------
241,501,701 343,484,481
-------------- --------------
ENERGY AND UTILITIES: SERVICES -- 0.1%
135,000 ABB Ltd., ADR ........................... 1,474,605 1,749,600
-------------- --------------
ENERGY AND UTILITIES: WATER -- 0.3%
11,000 American States Water Co. ............... 273,608 392,150
53,333 Aqua America Inc. ....................... 873,085 1,215,459
4,000 Artesian Resources Corp.,
Cl. A ................................. 113,635 115,440
3,000 California Water
Service Group ......................... 94,710 107,220
6,000 Connecticut Water
Service Inc. .......................... 152,821 140,520
6,000 Middlesex Water Co. ..................... 111,082 113,520
21,466 Pennichuck Corp. ........................ 417,620 438,765
90,000 SJW Corp. ............................... 1,507,781 2,290,500
16,800 Southwest Water Co. ..................... 192,169 201,096
5,000 Suez SA ................................. 156,718 205,287
168,000 Suez SA, Strips+ ........................ 0 2,149
36,000 United Utilities plc, ADR ............... 774,333 853,560
6,000 York Water Co. .......................... 115,031 143,340
-------------- --------------
4,782,593 6,219,006
-------------- --------------
ENTERTAINMENT -- 1.1%
8,000 Grupo Televisa SA, ADR .................. 79,516 154,480
400,000 The Walt Disney Co. ..................... 9,200,166 12,000,000
400,000 Time Warner Inc. ........................ 6,817,035 6,920,000
220,000 Vivendi SA, ADR ......................... 6,879,598 7,680,200
-------------- --------------
22,976,315 26,754,680
-------------- --------------
ENVIRONMENTAL SERVICES -- 0.2%
200,000 Allied Waste
Industries Inc.+ ...................... 2,185,554 2,272,000

MARKET
SHARES COST VALUE
-------- ------ --------

11,000 Veolia Environnement .................... $ 304,150 $ 568,551
75,000 Waste Management Inc. ................... 2,108,060 2,691,000
-------------- --------------
4,597,764 5,531,551
-------------- --------------
EQUIPMENT AND SUPPLIES -- 1.4%
115,000 CIRCOR International Inc. ............... 2,094,187 3,506,350
29,000 Lufkin Industries Inc. .................. 457,313 1,723,470
50,000 Mueller Industries Inc. ................. 2,132,702 1,651,500
280,000 RPC Inc. ................................ 1,866,263 6,798,400
300,000 Weatherford
International Ltd.+ ................... 13,223,842 14,886,000
300,000 Xerox Corp.+ ............................ 4,332,750 4,173,000
-------------- --------------
24,107,057 32,738,720
-------------- --------------
FINANCIAL SERVICES -- 13.1%
305,000 AllianceBernstein
Holding LP ............................ 10,783,205 18,647,700
370,000 American Express Co. .................... 16,473,279 19,691,400
260,000 American International
Group Inc. ............................ 15,667,075 15,353,000
80,000 Ameriprise Financial Inc. ............... 2,638,721 3,573,600
285,000 AmSouth Bancorporation .................. 7,434,245 7,538,250
594,000 Bank of America Corp. ................... 27,000,738 28,571,400
361,400 Bank of New York Co. Inc. ............... 11,720,504 11,637,080
5,000 BlackRock Inc., Cl. A ................... 387,461 695,850
550,000 Citigroup Inc. .......................... 26,539,205 26,532,000
210,000 Commerce Bancorp Inc. ................... 7,038,752 7,490,700
30,000 Deutsche Bank AG ........................ 2,456,595 3,375,000
80,000 Fannie Mae .............................. 3,906,030 3,848,000
40,000 Fidelity National
Financial Inc. ........................ 1,562,229 1,558,000
7,000 Fidelity National Title
Group Inc., Cl. A ..................... 168,700 137,690
165,000 Fifth Third Bancorp ..................... 7,291,050 6,096,750
100,000 First Horizon
National Corp. ........................ 4,259,774 4,020,000
40,000 Flushing Financial Corp. ................ 744,305 718,400
27,000 Hartford Financial
Services Group Inc. ................... 1,748,090 2,284,200
520,000 JPMorgan Chase & Co. .................... 18,950,295 21,840,000
15,000 Marshall & Ilsley Corp. ................. 667,500 686,100
97,000 Merrill Lynch & Co. Inc. ................ 6,419,754 6,747,320
135,000 Morgan Stanley .......................... 6,866,538 8,533,350
200,000 New York Community
Bancorp Inc. .......................... 3,851,837 3,302,000
21,000 NewAlliance
Bancshares Inc. ....................... 308,926 300,510
40,000 North Fork
Bancorporation Inc. ................... 1,022,376 1,206,800
210,000 PNC Financial Services
Group Inc. ............................ 11,239,980 14,735,700

See accompanying notes to financial statements.

THE GABELLI DIVIDEND & INCOME TRUST
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2006 (UNAUDITED)

MARKET
SHARES COST VALUE
-------- ------ --------

COMMON STOCKS (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
345,000 Popular Inc. ............................ $ 7,680,899 $ 6,624,000
4,000 Progressive Corp. ....................... 89,520 102,840
323,621 Sovereign Bancorp Inc. .................. 6,825,051 6,572,732
290,000 St. Paul Travelers
Companies Inc. ........................ 10,913,064 12,928,200
20,750 Sterling Bancorp ........................ 438,751 404,625
100,000 T. Rowe Price Group Inc. ................ 3,368,235 3,781,000
60,000 The Allstate Corp. ...................... 3,220,720 3,283,800
5,000 Unitrin Inc. ............................ 187,486 217,950
15,214 Valley National Bancorp ................. 378,568 391,152
260,000 Wachovia Corp. .......................... 12,388,303 14,060,800
350,000 Waddell & Reed
Financial Inc., Cl. A ................. 7,779,892 7,196,000
32,000 Washington Mutual Inc. .................. 1,266,593 1,458,560
3,500 Webster Financial Corp. ................. 155,536 166,040
225,000 Wells Fargo & Co. ....................... 13,331,455 15,093,000
85,200 Wilmington Trust Corp. .................. 3,043,530 3,593,736
157,000 Zions Bancorporation .................... 10,917,297 12,236,580
-------------- --------------
279,132,064 307,231,815
-------------- --------------
FOOD AND BEVERAGE -- 3.6%
165,000 Anheuser-Busch
Companies Inc. ........................ 7,558,315 7,522,350
50,000 Campbell Soup Co. ....................... 1,495,352 1,855,500
260,000 Coca-Cola Co. ........................... 11,432,684 11,185,200
175,000 ConAgra Foods Inc. ...................... 4,459,103 3,869,250
220,000 General Mills Inc. ...................... 10,213,247 11,365,200
210,000 Groupe Danone ........................... 21,836,787 26,685,469
180,000 H.J. Heinz Co. .......................... 6,477,710 7,419,600
1,000 Kellogg Co. ............................. 35,550 48,430
50,000 Kraft Foods Inc., Cl. A ................. 1,563,386 1,545,000
339,450 Parmalat SpA, GDR+ (a) .................. 981,615 1,060,136
320,000 Sara Lee Corp. .......................... 6,809,297 5,126,400
50,000 The Hershey Co. ......................... 2,660,455 2,753,500
62,000 Wm. Wrigley Jr. Co. ..................... 2,976,799 2,812,320
3,000 Wm. Wrigley Jr. Co., Cl. B .............. 167,630 135,900
-------------- --------------
78,667,930 83,384,255
-------------- --------------
HEALTH CARE -- 2.5%
145,000 Bristol-Myers Squibb Co. ................ 3,552,525 3,749,700
150,000 Diagnostic Products Corp. ............... 8,677,050 8,725,500
200,000 Eli Lilly & Co. ......................... 11,682,338 11,054,000
90,000 IMS Health Inc. ......................... 2,266,881 2,416,500
220,000 Merck & Co. Inc. ........................ 8,376,601 8,014,600
1,000 NeuTec Pharma plc+ ...................... 20,854 19,287
60,000 Owens & Minor Inc. ...................... 1,517,872 1,716,000
680,000 Pfizer Inc. ............................. 20,157,094 15,959,600
9,500 Schering AG ............................. 1,068,138 1,081,559
70,000 Wyeth ................................... 3,093,990 3,108,700
30,000 Zimmer Holdings Inc.+ ................... 1,896,568 1,701,600
-------------- --------------
62,309,911 57,547,046
-------------- --------------

MARKET
SHARES COST VALUE
-------- ------ --------

HOTELS AND GAMING -- 0.6%
40,000 Aztar Corp.+ ............................ $ 1,564,788 $ 2,078,400
100,000 GTECH Holdings Corp. .................... 3,364,659 3,478,000
100,000 Hilton Hotels Corp. ..................... 1,701,949 2,828,000
9,600 Kerzner International Ltd.+ ............. 765,984 761,088
705,882 Ladbrokes plc ........................... 9,246,474 5,319,210
-------------- --------------
16,643,854 14,464,698
-------------- --------------
MACHINERY -- 0.2%
150,000 CNH Global NV ........................... 2,953,366 3,588,000
10,000 Deere & Co. ............................. 622,074 834,900
-------------- --------------
3,575,440 4,422,900
-------------- --------------
MANUFACTURED HOUSING AND RECREATIONAL VEHICLES -- 0.0%
1,100 Skyline Corp. ........................... 42,889 47,058
-------------- --------------
METALS AND MINING -- 0.7%
40,000 Alcoa Inc. .............................. 1,238,527 1,294,400
10,000 Alliance Holdings GP LP+ ................ 230,523 216,800
20,000 Arch Coal Inc. .......................... 314,774 847,400
8,000 BHP Billiton Ltd., ADR .................. 217,549 344,560
50,000 Falconbridge Ltd. ....................... 2,622,196 2,633,701
3,000 Fording Canadian
Coal Trust ............................ 32,950 95,100
120,000 Freeport-McMoRan Copper
& Gold Inc., Cl. B .................... 4,389,476 6,649,200
24,000 Inco Ltd. ............................... 911,698 1,581,600
10,000 Massey Energy Co. ....................... 235,475 360,000
25,000 Peabody Energy Corp. .................... 353,789 1,393,750
24,000 Phelps Dodge Corp. ...................... 967,520 1,971,840
1,000 Rio Tinto plc, ADR ...................... 127,360 209,710
3,000 Westmoreland Coal Co.+ .................. 52,605 71,160
-------------- --------------
11,694,442 17,669,221
-------------- --------------
PAPER AND FOREST PRODUCTS -- 0.1%
100,000 International Paper Co. ................. 3,489,980 3,230,000
-------------- --------------
PUBLISHING -- 0.4%
135,000 Dow Jones & Co. Inc. .................... 5,111,401 4,726,350
280,000 Reader's Digest
Association Inc. ...................... 4,114,706 3,908,800
-------------- --------------
9,226,107 8,635,150
-------------- --------------
REAL ESTATE -- 0.5%
12,000 Brookfield Asset
Management Inc., Cl. A ................ 186,195 487,440
1,000 Inmobiliaria Colonial SA ................ 79,018 79,429
350,000 Trizec Properties Inc. .................. 10,057,900 10,024,000
-------------- --------------
10,323,113 10,590,869
-------------- --------------
RETAIL -- 0.8%
155,000 Ingles Markets Inc., Cl. A .............. 1,758,049 2,635,000
430,000 Safeway Inc. ............................ 9,102,128 11,180,000

See accompanying notes to financial statements.

THE GABELLI DIVIDEND & INCOME TRUST
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2006 (UNAUDITED)

MARKET
SHARES COST VALUE
-------- ------ --------

COMMON STOCKS (CONTINUED)
RETAIL (CONTINUED)
22,000 Saks Inc. ............................... $ 395,507 $ 355,740
114,660 SUPERVALU Inc. .......................... 3,411,135 3,520,062
-------------- --------------
14,666,819 17,690,802
-------------- --------------
SPECIALTY CHEMICALS -- 0.9%
5,000 Arkema, ADR+ ............................ 269,656 195,059
75,000 Ashland Inc. ............................ 3,123,758 5,002,500
165,200 Dow Chemical Co. ........................ 6,665,971 6,447,756
95,000 E.I. du Pont de
Nemours & Co. ......................... 4,109,121 3,952,000
214,200 Ferro Corp. ............................. 4,192,841 3,418,632
115,000 Olin Corp. .............................. 2,093,768 2,061,950
18,146 Tronox Inc., Cl. B ...................... 186,196 238,983
-------------- --------------
20,641,311 21,316,880
-------------- --------------
TELECOMMUNICATIONS -- 5.1%
690,000 AT&T Inc. ............................... 17,030,119 19,244,100
650,000 BCE Inc. ................................ 14,200,754 15,372,500
200,000 BellSouth Corp. ......................... 5,331,371 7,240,000
74,000 BT Group plc, ADR ....................... 2,312,412 3,277,460
2,000 CenturyTel Inc. ......................... 58,989 74,300
50,000 Compania de
Telecomunicaciones de
Chile SA, ADR ......................... 596,783 342,000
100,000 Deutsche Telekom AG, ADR ................ 1,796,995 1,604,000
900,000 Eircom Group plc ........................ 2,516,691 2,509,497
42,000 Embarq Corp.+ ........................... 1,625,738 1,721,580
55,000 France Telecom SA, ADR .................. 1,338,443 1,202,300
210,000 Hellenic Telecommunications
Organization SA, ADR+ ................. 1,644,219 2,339,400
200,000 Portugal Telecom SGPS SA ................ 2,318,352 2,414,847
145,000 Qwest Communications
International Inc.+ ................... 476,364 1,173,050
840,000 Sprint Nextel Corp. ..................... 16,438,020 16,791,600
12,000 Telecom Corp. of New
Zealand Ltd., ADR ..................... 322,396 238,680
200,000 Telecom Italia SpA, ADR ................. 5,741,078 5,584,000
26,000 Telefonica SA, ADR ...................... 1,107,367 1,293,240
260,000 Telefonos de Mexico SA
de CV, Cl. L, ADR ..................... 4,337,484 5,415,800
150,000 Telstra Corp. Ltd., ADR ................. 2,756,717 2,055,000
70,000 TELUS Corp., Non-Voting ................. 1,208,705 2,835,627
810,000 Verizon
Communications Inc. ................... 29,385,130 27,126,900
-------------- --------------
112,544,127 119,855,881
-------------- --------------
TRANSPORTATION -- 0.7%
290,000 Associated British Ports
Holdings plc .......................... 4,861,715 4,842,539
4,000 Frontline Ltd. .......................... 137,211 151,400

MARKET
SHARES COST VALUE
-------- ------ --------

210,000 GATX Corp. .............................. $ 5,512,154 $ 8,925,000
24,000 Golden Ocean Group Ltd.+ ................ 14,400 16,116
4,250 Ship Finance
International Ltd. .................... 96,012 73,568
35,000 Teekay Shipping Corp. ................... 1,135,504 1,464,400
-------------- --------------
11,756,996 15,473,023
-------------- --------------
WIRELESS COMMUNICATIONS -- 0.3%
14,000 Crown Castle
International Corp.+ .................. 226,237 483,560
110,000 United States Cellular Corp.+ ........... 5,022,195 6,666,000
3,000 Vimpel-Communications,
ADR+ .................................. 91,155 137,460
-------------- --------------
5,339,587 7,287,020
-------------- --------------
TOTAL
COMMON STOCKS ......................... 1,531,189,878 1,805,564,497
-------------- --------------
CONVERTIBLE PREFERRED STOCKS -- 2.1%
AEROSPACE -- 0.1%
8,315 Northrop Grumman Corp.,
7.000% Cv. Pfd., Ser. B ............... 997,555 1,051,848
-------------- --------------
AUTOMOTIVE -- 0.0%
16,000 General Motors Corp.,
4.500% Cv. Pfd., Ser. A ............... 415,435 390,560
-------------- --------------
BROADCASTING -- 0.0%
20,460 Emmis Communications Corp.,
6.250% Cv. Pfd., Ser. A ............... 960,081 925,815
-------------- --------------
BUILDING AND CONSTRUCTION -- 0.0%
200 Fleetwood Capital Trust,
6.000% Cv. Pfd. ....................... 6,210 6,850
-------------- --------------
DIVERSIFIED INDUSTRIAL -- 0.3%
179,400 Owens-Illinois Inc.,
4.750% Cv. Pfd. ....................... 5,956,159 6,279,000
80,502 Smurfit-Stone Container Corp.,
7.000% Cv. Pfd., Ser. A ............... 2,008,346 1,791,169
-------------- --------------
7,964,505 8,070,169
-------------- --------------
ENERGY AND UTILITIES -- 0.4%
5,000 Chesapeake Energy Corp.,
5.000% Cv. Pfd. (a) ................... 512,500 660,325
20,000 CMS Energy Corp.,
4.500% Cv. Pfd., Ser. B ............... 1,069,063 1,415,000
130,000 El Paso Corp. Capital Trust I,
4.750% Cv. Pfd., Ser. C ............... 4,680,219 4,709,900
40,000 Hanover Compressor Capital
Trust, 7.250% Cv. Pfd. ................ 1,999,452 2,250,000
-------------- --------------
8,261,234 9,035,225
-------------- --------------

See accompanying notes to financial statements.

THE GABELLI DIVIDEND & INCOME TRUST
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2006 (UNAUDITED)

MARKET
SHARES COST VALUE
-------- ------ --------

CONVERTIBLE PREFERRED STOCKS (CONTINUED)
ENTERTAINMENT -- 0.1%
130,000 Six Flags Inc.,
7.250% Cv. Pfd., Ser. B ............... $ 3,021,346 $ 2,808,000
-------------- --------------
FINANCIAL SERVICES -- 0.7%
2,400 Doral Financial Corp.,
4.750% Cv. Pfd. ....................... 389,670 302,400
210,000 National Australia Bank Ltd.,
7.875% Cv. Pfd. ....................... 7,994,364 8,922,900
138,900 Newell Financial Trust I,
5.250% Cv. Pfd. ....................... 6,516,450 6,146,325
-------------- --------------
14,900,484 15,371,625
-------------- --------------
HEALTH CARE -- 0.0%
10,000 Omnicare Inc.,
4.000% Cv. Pfd., Ser. B ............... 605,400 630,600
-------------- --------------
REAL ESTATE INVESTMENT TRUSTS -- 0.0%
2,100 Equity Office Properties Trust,
5.250% Cv. Pfd., Ser. B ............... 104,120 112,980
-------------- --------------
TELECOMMUNICATIONS -- 0.4%
50,000 Cincinnati Bell Inc.,
6.750% Cv. Pfd., Ser. B ............... 2,118,418 2,150,000
121,000 Crown Castle International Corp.,
6.250% Cv. Pfd. ....................... 5,568,000 6,866,750
-------------- --------------
7,686,418 9,016,750
-------------- --------------
TRANSPORTATION -- 0.1%
1,500 GATX Corp.,
$2.50 Cv. Pfd. ........................ 199,475 315,000
982 Kansas City Southern,
4.250% Cv. Pfd. ....................... 551,884 931,168
-------------- --------------
751,359 1,246,168
-------------- --------------
TOTAL CONVERTIBLE
PREFERRED STOCKS ...................... 45,674,147 48,666,590
-------------- --------------

PRINCIPAL
AMOUNT
-----------

CONVERTIBLE CORPORATE BONDS -- 1.7%
AEROSPACE -- 0.1%
$ 1,000,000 GenCorp Inc., Sub. Deb. Cv.,
5.750%, 04/15/07 ...................... 996,109 1,063,750
-------------- --------------
AUTOMOTIVE: PARTS AND ACCESSORIES -- 0.0%
500,000 Standard Motor Products Inc.,
Sub. Deb. Cv.,
6.750%, 07/15/09 ...................... 483,209 443,750
-------------- --------------

PRINCIPAL MARKET
AMOUNT COST VALUE
----------- ------ --------

BROADCASTING -- 0.5%
$ 100,000 Lin Television Corp.,
Sub. Deb. Cv.,
2.500%, 05/15/33 ...................... $ 91,507 $ 91,000
13,240,000 Sinclair Broadcast Group Inc.,
Sub. Deb. Cv.,
6.000%, 09/15/12 ...................... 10,974,525 11,518,800
-------------- --------------
11,066,032 11,609,800
-------------- --------------
BUSINESS SERVICES -- 0.0%
910,000 Trans-Lux Corp., Sub. Deb. Cv.,
8.250%, 03/01/12 ...................... 908,196 861,087
-------------- --------------
COMMUNICATIONS EQUIPMENT -- 0.5%
10,000,000 Agere Systems Inc.,
Sub. Deb. Cv.,
6.500%, 12/15/09 ...................... 10,065,724 9,937,500
2,000,000 TriQuint Semiconductor Inc.,
Sub. Deb. Cv.,
4.000%, 03/01/07 ...................... 1,979,776 1,975,000
-------------- --------------
12,045,500 11,912,500
-------------- --------------
ENTERTAINMENT -- 0.1%
1,500,000 The Walt Disney Co., Cv.,
2.125%, 04/15/23 ...................... 1,518,211 1,659,375
-------------- --------------
EQUIPMENT AND SUPPLIES -- 0.1%
1,000,000 Robbins & Myers Inc.,
Sub. Deb. Cv.,
8.000%, 01/31/08 ...................... 1,006,680 1,172,500
-------------- --------------
FINANCIAL SERVICES -- 0.0%
250,000 AON Corp., Deb. Cv.,
3.500%, 11/15/12 ...................... 269,206 408,438
-------------- --------------
METALS AND MINING -- 0.0%
400,000 Inco Ltd., Cv.,
Zero Coupon, 03/29/21 ................. 406,225 702,000
-------------- --------------
REAL ESTATE -- 0.0%
Palm Harbor Homes Inc., Cv.,
100,000 3.250%, 05/15/24 ...................... 84,293 85,500
1,000,000 3.250%, 05/15/24 (a) .................. 973,114 855,000
-------------- --------------
1,057,407 940,500
-------------- --------------
TELECOMMUNICATIONS -- 0.2%
6,000,000 Nortel Networks Corp., Cv.,
4.250%, 09/01/08 ...................... 5,778,713 5,685,000
-------------- --------------
TRANSPORTATION -- 0.2%
3,000,000 GATX Corp., Cv.,
7.500%, 02/01/07 ...................... 3,147,426 3,795,000
-------------- --------------
TOTAL CONVERTIBLE
CORPORATE BONDS ....................... 38,682,914 40,253,700
-------------- --------------

See accompanying notes to financial statements.

THE GABELLI DIVIDEND & INCOME TRUST
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2006 (UNAUDITED)

MARKET
SHARES COST VALUE
-------- ------ --------

WARRANTS -- 0.0%
FOOD AND BEVERAGE -- 0.0%
650 Parmalat SpA, GDR,
expire 12/31/15+ (a)(b) ............... $ 0 $ 0
-------------- --------------

PRINCIPAL
AMOUNT
-----------

SHORT-TERM OBLIGATIONS -- 19.1%
REPURCHASE AGREEMENTS -- 14.1%
$180,000,000 ABN Amro, 4.480%, dated
06/30/06, due 07/03/06,
proceeds at maturity,
$180,067,200(c) ....................... 180,000,000 180,000,000
150,000,000 Barclays Capital Inc., 4.400%,
dated 06/30/06, due 07/03/06,
proceeds at maturity,
$150,055,000(d) ....................... 150,000,000 150,000,000
-------------- --------------
330,000,000 330,000,000
-------------- --------------
U.S. TREASURY BILLS -- 5.0%
118,623,000 U.S. Treasury Bills,
4.657% to 4.923%++,
07/06/06 to 10/12/06 (e) .............. 117,721,667 117,713,488
-------------- --------------
TOTAL SHORT-TERM
OBLIGATIONS ........................... 447,721,667 447,713,488
-------------- --------------
TOTAL INVESTMENTS -- 100.0% ............................ $2,063,268,606 2,342,198,275
==============

SECURITIES SOLD SHORT
(Proceeds received $495,805) ........................................... (499,274)

OTHER ASSETS AND LIABILITIES (NET) ....................................... 1,050,691

PREFERRED STOCK
(5,814,200 preferred shares outstanding) ............................... (500,000,000)
--------------
NET ASSETS -- COMMON SHARES
(84,128,005 common shares outstanding) ................................. $1,842,749,692
==============
NET ASSET VALUE PER COMMON SHARE
($1,842,749,692 / 84,128,005 shares outstanding) ....................... $ 21.90
==============

MARKET
SHARES PROCEEDS VALUE
-------- ---------- --------

COMMON STOCKS SOLD SHORT -- (0.0)%
EQUIPMENT AND SUPPLIES -- (0.0)%
(19,100) Robbins & Myers Inc. ..................... $ (495,805) $ (499,274)
============== ==============

----------
(a) Security exempt from registration under Rule 144A of the Securities Act of
1933, as amended. These securities may be resold in transactions exempt
from registration, normally to qualified institutional buyers. At June 30,
2006, the market value of Rule 144A securities amounted to $2,575,461 or
0.11% of total investments. Except as noted in (b), these securities are
liquid.

(b) At June 30, 2006, the Fund held an investment in a restricted and illiquid
security amounting to $0 or 0.00% of total investments, which was valued
under methods approved by the Board, as follows:

06/30/06
ACQUISITION ACQUISITION ACQUISITION CARRYING VALUE
SHARES ISSUER DATE COST PER UNIT
-------- ------ ---- ---- --------

650 Parmalat SpA, GDR
warrants expire 12/31/15 .............. 11/09/05 $0.00 $0.0000

(d) Collateralized by U.S. Treasury Bond, 8.125%, due 08/15/21, market value
$153,000,000.

(e) At June 30, 2006, $505,000 of the principal amount was pledged as
collateral for securities sold short.

+ Non-income producing security.

++ Represents annualized yield at date of purchase.

ADR American Depository Receipt

GDR Global Depository Receipt

% OF
MARKET MARKET
VALUE VALUE
----- --------------
GEOGRAPHIC DIVERSIFICATION
LONG POSITIONS
North America ..................................... 84.4% $1,977,910,712
Europe ............................................ 11.2 261,180,060
Latin America ..................................... 2.1 49,555,311
Japan ............................................. 1.5 35,761,272
Asia/Pacific ...................................... 0.8 17,790,920
----- --------------
Total Investments ................................. 100.0% $2,342,198,275
===== ==============
SHORT POSITION
North America ..................................... (0.0)% $ (499,274)
===== ==============

See accompanying notes to financial statements.

THE GABELLI DIVIDEND & INCOME TRUST

STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2006 (UNAUDITED)

ASSETS:
Investments, at value (cost $1,733,268,606) ................ $2,012,198,275
Repurchase agreements, at value (cost $330,000,000) ........ 330,000,000
Foreign currency, at value (cost $6,183,486) ............... 6,269,112
Segregated cash ............................................ 2,196,698
Cash ....................................................... 1,403
Unrealized appreciation on swap contracts .................. 5,617,614
Dividends and interest receivable .......................... 3,718,470
Receivable for investments sold ............................ 495,805
Other assets ............................................... 36,161
--------------
TOTAL ASSETS ............................................... 2,360,533,538
--------------
LIABILITIES:
Securities sold short (proceeds $495,805) .................. 499,274
Payable for investments purchased .......................... 12,246,634
Payable for investment advisory fees ....................... 4,089,157
Dividends payable .......................................... 369,178
Payable for offering expenses .............................. 151,935
Payable for payroll expenses ............................... 9,029
Payable for Trustees' fees ................................. 4,449
Other accrued expenses ..................................... 414,190
--------------
TOTAL LIABILITIES .......................................... 17,783,846
--------------
PREFERRED STOCK:
Series A Cumulative Preferred Stock (5.875%, $25
liquidation value, $0.001 par value, 3,200,000
shares authorized with 3,200,000 shares issued
and outstanding) ......................................... 80,000,000
Series B Cumulative Preferred Stock (Auction
Market, $25,000 liquidation value, $0.001 par
value, 4,000 shares authorized with 4,000 shares
issued and outstanding) .................................. 100,000,000
Series C Cumulative Preferred Stock (Auction
Market, $25,000 liquidation value, $0.001 par
value, 4,800 shares authorized with 4,800 shares
issued and outstanding) .................................. 120,000,000
Series D Cumulative Preferred Stock (6.00%, $25
liquidation value, $0.001 par value, 2,600,000
shares authorized with 2,600,000 shares issued
and outstanding) ......................................... 65,000,000
Series E Cumulative Preferred Stock (Auction Rate,
$25,000 liquidation value, $0.001 par value,
5,400 shares authorized with 5,400 shares issued
and outstanding) ......................................... 135,000,000
--------------
TOTAL PREFERRED STOCK ...................................... 500,000,000
--------------
NET ASSETS ATTRIBUTABLE TO
COMMON SHAREHOLDERS ...................................... $1,842,749,692
==============
NET ASSETS ATTRIBUTABLE TO COMMON
SHAREHOLDERS CONSIST OF:
Shares of beneficial interest, at $0.001 par value ......... $ 84,128
Additional paid-in capital ................................. 1,547,165,204
Accumulated net realized gain on investments,
options, futures contracts, securities sold short,
and foreign currency transactions ........................ 10,865,487
Net unrealized appreciation on investments
and swap contracts ....................................... 284,547,283
Net unrealized depreciation on securities sold short ....... (3,469)
Net unrealized appreciation on foreign
currency translations .................................... 91,059
--------------
NET ASSETS ................................................. $1,842,749,692
==============
NET ASSET VALUE PER COMMON SHARE
($1,842,749,692 / 84,128,005 shares outstanding;
unlimited number of shares authorized) ..................... $ 21.90
==============

STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2006 (UNAUDITED)

INVESTMENT INCOME:
Dividends (net of foreign taxes of $771,386) ............... $ 38,859,941
Interest ................................................... 11,251,879
--------------
TOTAL INVESTMENT INCOME .................................... 50,111,820
--------------
EXPENSES:
Investment advisory fees ................................... 11,633,985
Auction agent fees ......................................... 450,376
Shareholder communications expenses ........................ 286,861
Payroll expenses ........................................... 106,714
Trustees' fees ............................................. 88,449
Custodian fees ............................................. 115,425
Legal and audit fees ....................................... 49,058
Shareholder services fees .................................. 19,150
Interest expense ........................................... 4,225
Miscellaneous expense ...................................... 201,844
--------------
TOTAL EXPENSES ............................................. 12,956,087
Less: Custodian fee credits ................................ (46,316)
--------------
TOTAL NET EXPENSES ......................................... 12,909,771
--------------
NET INVESTMENT INCOME ...................................... 37,202,049
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS, OPTIONS, FUTURES CONTRACTS,
SWAP CONTRACTS, SECURITIES SOLD SHORT, AND
FOREIGN CURRENCY:
Net realized gain on investments ........................... 35,351,947
Net realized loss on option contracts written .............. (5,070)
Net realized gain on futures contracts ..................... 1,538,828
Net realized gain on swap contracts ........................ 308,308
Net realized loss on foreign currency transactions ......... (369,267)
--------------
Net realized gain on investments, options, futures
contracts, swap contracts, securities sold short,
and foreign currency transactions ........................ 36,824,746
Net change in unrealized appreciation/depreciation
on investments, options, futures contracts, swap
contracts, securities sold short, and foreign
currency translations .................................... 97,117,540
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS, OPTIONS, FUTURES CONTRACTS,
SWAP CONTRACTS, SECURITIES SOLD SHORT, AND
FOREIGN CURRENCY ......................................... 133,942,286
--------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS .......................................... 171,144,335

Total Distributions to Preferred
Stock Shareholders ....................................... (12,613,316)
--------------
NET INCREASE IN NET ASSETS ATTRIBUTABLE TO
COMMON SHAREHOLDERS RESULTING FROM
OPERATIONS ............................................... $ 158,531,019
==============

See accompanying notes to financial statements.

THE GABELLI DIVIDEND & INCOME TRUST

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO COMMON SHAREHOLDERS

SIX MONTHS ENDED
JUNE 30, 2006 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2005
---------------- -----------------

OPERATIONS:
Net investment income ..................................................................... $ 37,202,049 $ 47,549,275
Net realized gain on investments, options, futures contracts, swap contracts,
and foreign currency transactions ....................................................... 36,824,746 68,354,941
Net change in unrealized appreciation on investments, options, futures contracts,
swap contracts, securities sold short, and foreign currency translations ................ 97,117,540 43,584,535
--------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ...................................... 171,144,335 159,488,751
--------------- ---------------
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS:
Net investment income ..................................................................... (7,456,726)* (5,432,355)
Net realized short-term gain on investments, options, and foreign currency transactions ... (3,901,705)* (1,314,615)
Net realized long-term gains on investments, options, and foreign currency transactions ... (1,254,885)* (6,733,232)
--------------- ---------------
TOTAL DISTRIBUTIONS TO PREFERRED SHAREHOLDERS ............................................. (12,613,316) (13,480,202)
--------------- ---------------
NET INCREASE IN NET ASSETS ATTRIBUTABLE TO COMMON SHAREHOLDERS
RESULTING FROM OPERATIONS ............................................................... 158,531,019 146,008,549
--------------- ---------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS:
Net investment income ..................................................................... (29,878,107)* (40,982,793)
Net realized short-term gain on investments, options, and foreign currency transactions ... (15,633,614)* (9,917,725)
Net realized long-term gains on investments, options, and foreign currency transactions ... (5,028,159)* (50,796,878)
--------------- ---------------
TOTAL DISTRIBUTIONS TO COMMON SHAREHOLDERS ................................................ (50,539,880) (101,697,396)
--------------- ---------------
FUND SHARE TRANSACTIONS:
Net decrease from repurchase of common shares ............................................. (3,396,622) (9,076,752)
Offering costs for preferred shares charged to paid-in capital ............................ -- (3,782,570)
--------------- ---------------
NET DECREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS ................................... (3,396,622) (12,859,322)
--------------- ---------------
NET INCREASE IN NET ASSETS ATTRIBUTABLE TO COMMON SHAREHOLDERS ............................ 104,594,517 31,451,831
NET ASSETS ATTRIBUTABLE TO COMMON SHAREHOLDERS:
Beginning of period ....................................................................... 1,738,155,175 1,706,703,344
--------------- ---------------
End of period (including undistributed net investment income of
$0 and $132,784, respectively) .......................................................... $ 1,842,749,692 $ 1,738,155,175
=============== ===============

----------
* Based on fiscal year to date book income. Amounts are subject to change
and recharacterization at fiscal year end.

See accompanying notes to financial statements.

THE GABELLI DIVIDEND & INCOME TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

1. ORGANIZATION. The Gabelli Dividend & Income Trust (the "Fund") is a
non-diversified closed-end management investment company organized as a Delaware
statutory trust on November 18, 2003 and registered under the Investment Company
Act of 1940, as amended (the "1940 Act"). Investment operations commenced on
November 28, 2003.

The Fund's investment objective is to provide a high level of total return
on its assets with an emphasis on dividends and income. The Fund will attempt to
achieve its investment objective by investing, under normal market conditions,
at least 80% of its assets in dividend paying securities (such as common and
preferred stock) or other income producing securities (such as fixed income debt
securities and securities that are convertible into equity securities).

2. SIGNIFICANT ACCOUNTING POLICIES. The preparation of financial statements in
accordance with United States ("U.S.") generally accepted accounting principles
requires management to make estimates and assumptions that affect the reported
amounts and disclosures in the 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.

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 Trustees (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 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 instruments with remaining maturities of 60 days or less that are not
credit impaired are valued at amortized cost, 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. Debt instruments
having a maturity greater than 60 days 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. Futures contracts are valued at the closing settlement price
of the exchange or board of trade on which the applicable contract is traded.

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 to the valuation and changes in valuation of similar securities,
including a comparison of foreign securities to the equivalent U.S. dollar value
ADR 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 GABELLI DIVIDEND & INCOME TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)

REPURCHASE AGREEMENTS. The Fund may enter into repurchase agreements with
primary government securities dealers recognized by the Federal Reserve Board,
with member banks of the Federal Reserve System, or with other brokers or
dealers that meet credit guidelines established by the Adviser and reviewed by
the Board. Under the terms of a typical repurchase agreement, the Fund takes
possession of an underlying debt obligation subject to an obligation of the
seller to repurchase, and the Fund to resell, the obligation at an agreed-upon
price and time, thereby determining the yield during the Fund's holding period.
The Fund will always receive and maintain securities as collateral whose market
value, including accrued interest, will be at least equal to 102% of the dollar
amount invested by the Fund in each agreement. The Fund will make payment for
such securities only upon physical delivery or upon evidence of book entry
transfer of the collateral to the account of the custodian. To the extent that
any repurchase transaction exceeds one business day, the value of the collateral
is marked-to-market on a daily basis to maintain the adequacy of the collateral.
If the seller defaults and the value of the collateral declines or if bankruptcy
proceedings are commenced with respect to the seller of the security,
realization of the collateral by the Fund may be delayed or limited. At June 30,
2006, the Fund had investments of $330,000,000 in repurchase agreements.

OPTIONS. The Fund may purchase or write call or put options on securities
or indices. As a writer of put options, the Fund receives a premium at the
outset and then bears the risk of unfavorable changes in the price of the
financial instrument underlying the option. The Fund would incur a loss if the
price of the underlying financial instrument decreases between the date the
option is written and the date on which the option is terminated. The Fund would
realize a gain, to the extent of the premium, if the price of the financial
instrument increases between those dates.

As a purchaser of put options, the Fund pays a premium for the right to
sell to the seller of the put option the underlying security at a specified
price. The seller of the put has the obligation to purchase the underlying
security upon exercise at the exercise price. If the price of the underlying
security declines, the Fund would realize a gain upon sale or exercise. If the
price of the underlying security increases or stays the same, the Fund would
realize a loss upon sale or at expiration date, but only to the extent of the
premium paid.

In the case of call options, these exercise prices are referred to as
"in-the-money," "at-the-money," and "out-of-the-money," respectively. The Fund
may write (a) in-the-money call options when the Adviser expects that the price
of the underlying security will remain stable or decline moderately during the
option period, (b) covered at-the-money call options when the Adviser expects
that the price of the underlying security will remain stable or advance
moderately during the option period, and (c) out-of-the-money call options when
the Adviser expects that the premiums received from writing the call option will
be greater than the appreciation in the price of the underlying security above
the exercise price. By writing a call option, the Fund limits its opportunity to
profit from any increase in the market value of the underlying security above
the exercise price of the option. Out-of-the-money, at-the-money, and
in-the-money put options (the reverse of call options as to the relation of
exercise price to market price) may be utilized in the same market environments
that such call options are used in equivalent transactions.

SWAP AGREEMENTS. The Fund may enter into interest rate swap or cap
transactions. The use of swaps and caps is a highly specialized activity that
involves investment techniques and risks different from those associated with
ordinary portfolio transactions. Swap agreements may involve, to varying
degrees, elements of market and counterparty risk, and exposure to loss in
excess of the related amounts reflected in the Statement of Assets and
Liabilities. In an interest rate swap, the Fund would agree to pay to the other
party to the interest rate swap (which is known as the counterparty)
periodically a fixed rate payment in exchange for the counterparty agreeing to
pay to the Fund periodically a variable rate payment that is intended to
approximate the Fund's variable rate payment obligation on Series B Preferred
Stock. In an

THE GABELLI DIVIDEND & INCOME TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)

interest rate cap, the Fund would pay a premium to the counterparty and, to the
extent that a specified variable rate index exceeds a predetermined fixed rate,
would receive from that counterparty payments of the difference based on the
notional amount of such cap. Interest rate swap and cap transactions introduce
additional risk because the Fund would remain obligated to pay preferred stock
dividends when due in accordance with the Articles Supplementary even if the
counterparty defaulted. If there is a default by the counterparty to a swap
contract, the Fund will be limited to contractual remedies pursuant to the
agreements related to the transaction. There is no assurance that the swap
contract counterparties will be able to meet their obligations pursuant to a
swap contract or that, in the event of default, the Fund will succeed in
pursuing contractual remedies. The Fund thus assumes the risk that it may be
delayed in or prevented from obtaining payments owed to it pursuant to a swap
contract. The creditworthiness of the swap contract counterparties is closely
monitored in order to minimize this risk. Depending on the general state of
short-term interest rates and the returns on the Fund's portfolio securities at
that point in time, such a default could negatively affect the Fund's ability to
make dividend payments for Series B Preferred Stock. In addition, at the time an
interest rate swap or cap transaction reaches its scheduled termination date,
there is a risk that the Fund will not be able to obtain a replacement
transaction or that the terms of the replacement will not be as favorable as on
the expiring transaction. If this occurs, it could have a negative impact on the
Fund's ability to make dividend payments on Series B Preferred Stock.

Unrealized gains related to swaps are reported as an asset and unrealized
losses are reported as a liability in the Statement of Assets and Liabilities.
The change in value of swaps, including the accrual of periodic amounts of
interest to be paid or received on swaps is reported as unrealized gains or
losses in the Statement of Operations. A realized gain or loss is recorded upon
payment or receipt of a periodic payment or termination of swap agreements.

The Fund has entered into an interest rate swap agreement with Citibank
N.A. Under the agreement the Fund receives a floating rate of interest and pays
a respective fixed rate of interest on the nominal value of the swap. Details of
the swap at June 30, 2006 are as follows:

NOTIONAL FLOATING RATE* TERMINATION UNREALIZED
AMOUNT FIXED RATE (RATE RESET MONTHLY) DATE APPRECIATION
------------ ---------- -------------------- ----------- ------------

$100,000,000 4.01% 5.11063% June 2, 2010 $5,617,614

----------
* Based on Libor (London Interbank Offered Rate).

FUTURES CONTRACTS. The Fund may engage in futures contracts for the
purpose of hedging against changes in the value of its portfolio securities and
in the value of securities it intends to purchase. Upon entering into a futures
contract, the Fund is required to deposit with the broker an amount of cash or
cash equivalents equal to a certain percentage of the contract amount. This is
known as the "initial margin." Subsequent payments ("variation margin") are made
or received by the Fund each day, depending on the daily fluctuations in the
value of the contract, which are included in unrealized
appreciation/depreciation on investments and futures contracts. The Fund
recognizes a realized gain or loss when the contract is closed.

There are several risks in connection with the use of futures contracts as
a hedging instrument. The change in value of futures contracts primarily
corresponds with the value of their underlying instruments, which may not
correlate with the change in value of the hedged investments. In addition, there
is the risk that the Fund may not be able to enter into a closing transaction
because of an illiquid secondary market. At June 30, 2006, there were no open
futures contracts.

THE GABELLI DIVIDEND & INCOME TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)

SECURITIES SOLD SHORT. The Fund may enter into short sale transactions.
Short selling involves selling securities that may or may not be owned and, at
times, borrowing the same securities for delivery to the purchaser, with an
obligation to replace such borrowed securities at a later date. The proceeds
received from short sales are recorded as liabilities and the Fund records an
unrealized gain or loss to the extent of the difference between the proceeds
received and the value of an open short position on the day of determination.
The Fund records a realized gain or loss when the short position is closed out.
By entering into a short sale, the Fund bears the market risk of an unfavorable
change in the price of the security sold short. Dividends on short sales are
recorded as an expense by the Fund on the ex-dividend date and interest expense
is recorded on the accrual basis. Securities sold short at June 30, 2006 are
reported within the Schedule of Investments.

FORWARD FOREIGN EXCHANGE CONTRACTS. The Fund may engage in forward foreign
exchange contracts for hedging a specific transaction with respect to either the
currency in which the transaction is denominated or another currency as deemed
appropriate by the Adviser. Forward foreign exchange contracts are valued at the
forward rate and are marked-to-market daily. The change in market value is
included in unrealized appreciation/depreciation on investments and foreign
currency translations. When the contract is closed, the Fund records a realized
gain or loss equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.

The use of forward foreign exchange contracts does not eliminate
fluctuations in the underlying prices of the Fund's portfolio securities, but it
does establish a rate of exchange that can be achieved in the future. Although
forward foreign exchange contracts limit the risk of loss due to a decline in
the value of the hedged currency, they also limit any potential gain that might
result should the value of the currency increase. In addition, the Fund could be
exposed to risks if the counterparties to the contracts are unable to meet the
terms of their contracts. At June 30, 2006, there were no open forward foreign
exchange contracts.

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 the 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 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 ability 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
those of 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.

THE GABELLI DIVIDEND & INCOME TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)

RESTRICTED AND ILLIQUID SECURITIES. The Fund is not subject to an
independent limitation on the amount it may invest in securities for which the
markets are illiquid. Illiquid securities include securities the disposition of
which is subject to substantial legal or contractual restrictions. The sale of
illiquid securities often requires more time and results in higher brokerage
charges or dealer discounts and other selling expenses than does 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 Securities and Exchange Commission (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.

SECURITIES TRANSACTIONS AND INVESTMENT INCOME. Securities transactions are
accounted for on the trade date with realized gain or loss on investments
determined by using the identified cost method. Interest income (including
amortization of premium and accretion of discount) is recorded on the 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 which are recorded as soon as the
Fund is informed of the dividend.

CUSTODIAN FEE CREDITS. When cash balances are maintained in the custody
account, the Fund receives credits which are used to offset custodian fees. The
gross expenses paid under the custody arrangement are included in custodian fees
in the Statement of Operations with the corresponding expense offset, if any,
shown as "custodian fee credits".

DISTRIBUTIONS TO SHAREHOLDERS. Distributions to common 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
U.S. generally accepted accounting principles. 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 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. These
reclassifications have no impact on the net asset value ("NAV") of the Fund. For
the fiscal year ended December 31, 2005, reclassifications were made to decrease
accumulated net investment income by $1,001,343 and to decrease accumulated
distributions in excess of net realized gain on investments, swap contracts,
options, and foreign currency transactions by $1,001,343.

Distributions to shareholders of the Fund's 5.875% Series A Cumulative
Preferred Stock, Series B Auction Market Cumulative Preferred Stock, Series C
Auction Market Cumulative Preferred Stock, 6.00% Series D Cumulative Preferred
Stock, and Series E Auction Rate Cumulative Preferred Stock ("Cumulative
Preferred Stock") are recorded on a daily basis and are determined as described
in Note 5.

THE GABELLI DIVIDEND & INCOME TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)

The tax character of distributions paid during the fiscal year ended December
31, 2005 was as follows:

COMMON PREFERRED
------------ -----------

DISTRIBUTIONS PAID FROM:
Ordinary income
(inclusive of short-term capital gains) ..... $ 50,900,518 $ 6,746,970
Net long-term capital gains ................... 50,796,878 6,733,232
------------ -----------
Total distributions paid ...................... $101,697,396 $13,480,202
============ ===========

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.

As of December 31, 2005, the components of accumulated earnings/(losses)
on a tax basis were as follows:

Net unrealized appreciation on investments ............................. $184,448,340
Net unrealized appreciation on foreign currency and swap contracts ..... 2,911,373
Net unrealized depreciation on short sales ............................. (6,133)
Dividend payable ....................................................... (251,205)
Undistributed ordinary income .......................................... 406,846
------------
Total .................................................................. $187,509,221
============

The following summarizes the tax cost of investments, swap contracts, and
the related unrealized appreciation/depreciation at June 30, 2006:

GROSS GROSS NET UNREALIZED
UNREALIZED UNREALIZED APPRECIATION/
COST/PROCEEDS APPRECIATION DEPRECIATION (DEPRECIATION)
-------------- ------------ ------------ --------------

Investments ........ $2,064,783,272 $311,275,290 $(33,860,287) $277,415,003
Swap contracts ..... -- 5,617,614 -- 5,617,614
Short sales ........ (495,805) -- (3,469) (3,469)
------------ ------------ ------------
$316,892,904 $(33,863,756) $283,029,148
============ ============ ============

3. AGREEMENTS AND TRANSACTIONS WITH AFFILIATES. 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 weekly and paid
monthly, equal on an annual basis to 1.00% of the value of the Fund's average
weekly net assets including liquidation value of the preferred stock. In
accordance with the Advisory Agreement, the Adviser provides a continuous
investment program for the Fund's portfolio and oversees the administration of
all aspects of the Fund's business and affairs. The Adviser has agreed to reduce
the management fee on the incremental assets attributable to the Cumulative
Preferred Stock if the total return of the NAV of the common shares of the Fund,
including distributions and advisory fee subject to reduction, does not exceed
the stated dividend rate or corresponding swap rate of each particular series of
the Cumulative Preferred Stock for the fiscal year.

The Fund's total return on the NAV of the common shares is monitored on a
monthly basis to assess whether the total return on the NAV of the common shares
exceeds the stated dividend rate or corresponding swap rate of each particular
series of Cumulative Preferred Stock for the period. For the six months ended
June 30, 2006, the Fund's total return on the NAV of the common shares exceeded
the stated dividend rate or corresponding swap rate of all outstanding Preferred
Stock. Thus, management fees were accrued on these assets.

THE GABELLI DIVIDEND & INCOME TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)

During the six months ended June 30, 2006, the Fund paid brokerage
commissions of $335,306 to Gabelli & Company, Inc. ("Gabelli & Company"), an
affiliate of the Adviser.

The cost of calculating the Fund's NAV per share is a Fund expense
pursuant to the Advisory Agreement between the Fund and the Adviser. During the
six months ended June 30, 2006, the Fund paid or accrued $22,500 to the Adviser
in connection with the cost of computing the Fund's NAV, which is included in
miscellaneous expenses in the Statement of Operations.

The Fund is assuming its portion of the allocated cost of the Gabelli
Funds' Chief Compliance Officer in the amount of $19,230 for the six months
ended June 30, 2006, which is included in payroll expenses in the Statement of
Operations.

4. PORTFOLIO SECURITIES. Purchases and proceeds from the sales of securities for
the six months ended June 30, 2006, other than short-term securities, aggregated
$402,168,477 and $240,568,646, respectively.

Option contracts written by the Fund during the six months ended June 30,
2006 were as follows:

NUMBER OF
CONTRACTS PREMIUMS
--------- ---------
Options outstanding at December 31, 2005 .... -- --
Options written ............................. 3,700 $ 242,592
Options exercised ........................... (300) (19,079)
Options closed .............................. (3,400) (223,513)
--------- ---------
Options outstanding at June 30, 2006 ........ -- --
========= =========

5. CAPITAL. The Fund is authorized to issue an unlimited number of common shares
of beneficial interest (par value $0.001). The Board has authorized the
repurchase of its shares on the open market when the shares are trading at a
discount of 7.5% or more (or such other percentage as the Board may determine
from time to time) from the NAV of the shares. During the six months ended June
30, 2006, the Fund repurchased 185,400 shares of beneficial interest in the open
market at a cost of $3,396,622 and an average discount of approximately 14.06%
from its NAV. All shares of beneficial interest repurchased have been retired.

Transactions in shares of beneficial interest were as follows:

SIX MONTHS ENDED
JUNE 30, 2006 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2005
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------

Net decrease from repurchase of common shares ..... (185,400) $(3,396,622) (504,100) $(9,076,752)

THE GABELLI DIVIDEND & INCOME TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)

The Fund's Declaration of Trust, as amended, authorizes the issuance of an
unlimited number of shares of $0.001 par value Cumulative Preferred Stock. The
Cumulative Preferred Stock is senior to the common shares and results in the
financial leveraging of the common shares. Such leveraging tends to magnify both
the risks and opportunities to common shareholders. Dividends on shares of the
Cumulative Preferred Stock are cumulative. The Fund is required by the 1940 Act
and by the Statements of Preferences to meet certain asset coverage tests with
respect to the Cumulative Preferred Stock. If the Fund fails to meet these
requirements and does not correct such failure, the Fund may be required to
redeem, in part or in full, the 5.875% Series A, Series B Auction Market, Series
C Auction Market, 6.00% Series D, and Series E Auction Rate Cumulative Preferred
Stock at redemption prices of $25, $25,000, $25,000, $25, and $25,000,
respectively, per share plus an amount equal to the accumulated and unpaid
dividends whether or not declared on such shares in order to meet these
requirements. Additionally, failure to meet the foregoing asset coverage
requirements could restrict the Fund's ability to pay dividends to common
shareholders and could lead to sales of portfolio securities at inopportune
times. The income received on the Fund's assets may vary in a manner unrelated
to the fixed and variable rates, which could have either a beneficial or
detrimental impact on net investment income and gains available to common
shareholders.

On October 12, 2004, the Fund received net proceeds of $77,280,971 (after
underwriting discounts of $2,520,000 and offering expenses of $199,029) from the
public offering of 3,200,000 shares of 5.875% Series A Cumulative Preferred
Stock. Commencing October 12, 2009 and thereafter, the Fund, at its option, may
redeem the 5.875% Series A Cumulative Preferred Stock in whole or in part at the
redemption price at any time. During the six months ended June 30, 2006, the
Fund did not repurchase any shares of 5.875% Series A Cumulative Preferred
Stock. At June 30, 2006, 3,200,000 shares of 5.875% Series A Cumulative
Preferred Stock were outstanding and accrued dividends amounted to $91,389.

On October 12, 2004, the Fund received net proceeds of $217,488,958 (after
underwriting discounts of $2,200,000 and offering expenses of $311,042) from the
public offering of 4,000 shares of Series B and 4,800 shares of Series C Auction
Market Cumulative Preferred Stock, respectively. The dividend rate, as set by
the auction process, which is generally held every 7 days, is expected to vary
with short-term interest rates. The dividend rates of Series B Auction Market
Cumulative Preferred Stock ranged from 4.14% to 5.26% for the six months ended
June 30, 2006. The dividend rates of Series C Auction Market Cumulative
Preferred Stock ranged from 4.10% to 5.36% for the six months ended June 30,
2006. Existing shareholders may submit an order to hold, bid, or sell such
shares on each auction date. Series B and C Auction Market Cumulative Preferred
Stock shareholders may also trade shares in the secondary market. The Fund, at
its option, may redeem the Series B and C Auction Market Cumulative Preferred
Stock in whole or in part at the redemption price at any time. During the six
months ended June 30, 2006, the Fund did not redeem any shares of Series B and C
Auction Market Cumulative Preferred Stock. At June 30, 2006, 4,000 and 4,800
shares of the Series B and C Auction Market Cumulative Preferred Stock were
outstanding with an annualized dividend rate of 5.26% and 5.36% per share and
accrued dividends amounted to $73,056 and $53,600, respectively.

On November 3, 2005, the Fund received net proceeds of $62,727,500 (after
underwriting discounts of $2,047,500 and estimated offering expenses of
$225,000) from the public offering of 2,600,000 shares of 6.00% Series D
Cumulative Preferred Stock. Commencing November 3, 2010 and thereafter, the
Fund, at its option, may redeem the 6.00% Series D Cumulative Preferred Stock in
whole or in part at the redemption price at any time. During the six months
ended June 30, 2006, the Fund did not repurchase any shares of 6.00% Series D
Cumulative Preferred Stock. At June 30, 2006, 2,600,000 shares of 6.00% Series D
Cumulative Preferred Stock were outstanding and accrued dividends amounted to
$75,833.

THE GABELLI DIVIDEND & INCOME TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)

On November 3, 2005, the Fund received net proceeds of $133,400,000 (after
underwriting discounts of $1,350,000 and estimated offering expenses of
$250,000) from the public offering of 5,400 shares of Series E Auction Rate
Cumulative Preferred Stock. The dividend rate, as set by the auction process,
which is generally held every 7 days, is expected to vary with short-term
interest rates. The dividend rates of Series E Auction Rate Cumulative Preferred
Stock ranged from 4.22% to 5.20% for the six months ended June 30, 2006.
Existing shareholders may submit an order to hold, bid, or sell such shares on
each auction date. Series E Auction Rate Preferred Stock shareholders may also
trade shares in the secondary market. The Fund, at its option, may redeem the
Series E Auction Rate Preferred Stock in whole or in part at the redemption
price at any time. During the six months ended June 30, 2006, the Fund did not
redeem any shares of Series E Auction Rate Preferred Stock. At June 30, 2006,
5,400 shares of Series E Auction Rate Preferred Stock were outstanding with an
annualized dividend rate of 5.02% per share and accrued dividends amounted to
$75,300.

The holders of Cumulative Preferred Stock generally are entitled to one
vote per share held on each matter submitted to a vote of shareholders of the
Fund and will vote together with holders of common shares as a single class. The
holders of Cumulative Preferred Stock voting together as a single class also
have the right currently to elect two Trustees and under certain circumstances
are entitled to elect a majority of the Board of Trustees. In addition, the
affirmative vote of a majority of the votes entitled to be cast by holders of
all outstanding shares of the preferred stock, voting as a single class, will be
required to approve any plan of reorganization adversely affecting the preferred
stock, and the approval of two-thirds of each class, voting separately, of the
Fund's outstanding voting stock must approve the conversion of the Fund from a
closed-end to an open-end investment company. The approval of a majority (as
defined in the 1940 Act) of the outstanding preferred stock and a majority (as
defined in the 1940 Act) of the Fund's outstanding voting securities are
required to approve certain other actions, including changes in the Fund's
investment objectives or fundamental investment policies.

6. 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 and expects the risk of loss to be remote.

7. OTHER MATTERS. The Adviser and/or affiliates have received subpoenas from the
Attorney General of the State of New York and the SEC requesting information on
mutual fund trading practices involving certain funds managed by the Adviser.
GAMCO Investors, Inc. ("GAMCO"), the Adviser's parent company, is responding to
these requests for documents and testimony. In June 2006, GAMCO began
discussions with the SEC regarding a possible resolution of their inquiry. Since
these discussions are ongoing, it cannot be determined at this time whether they
will ultimately result in a settlement of this matter. On a separate matter, in
September 2005, the Adviser was informed by the staff of the SEC that the staff
may recommend to the Commission that an administrative remedy and a monetary
penalty be sought from the Adviser in connection with the actions of two of
seven closed-end funds managed by the Adviser relating to Section 19(a) and Rule
19a-1 of the 1940 Act. These provisions require registered investment companies
to provide written statements to shareholders when a dividend is made from a
source other than net investment income. While the two closed-end funds sent
annual statements and provided other materials containing this information, the
funds did not send written statements to shareholders with each distribution in
2002 and 2003. The Adviser believes that all of the funds are now in compliance.
The Adviser believes that these matters would have no effect on the Fund or any
material adverse effect on the Adviser or its ability to manage the Fund. The
staff's notice to the Adviser did not relate to the Fund.

THE GABELLI DIVIDEND & INCOME TRUST
FINANCIAL HIGHLIGHTS

SELECTED DATA FOR A SHARE OF SIX MONTHS ENDED YEAR ENDED DECEMBER 31, PERIOD ENDED
BENEFICIAL INTEREST OUTSTANDING JUNE 30, 2006 ------------------------ DECEMBER 31,
THROUGHOUT EACH PERIOD: (UNAUDITED) 2005 2004 2003 (g)
---------------- -------- -------- ------------

OPERATING PERFORMANCE:
Net asset value, beginning of period ............................... $ 20.62 $ 20.12 $ 19.26 $ 19.06(h)
-------- -------- -------- --------
Net investment income .............................................. 0.44 0.55 0.40 --
Net realized and unrealized gain on investments .................... 1.58 1.33 1.80 0.20
-------- -------- -------- --------
Total from investment operations ................................... 2.02 1.88 2.20 0.20
-------- -------- -------- --------
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS: (a)
Net investment income .............................................. (0.09)(d) (0.06) (0.01) --
Net realized gain on investments ................................... (0.06)(d) (0.10) (0.01) --
-------- -------- -------- --------
Total distributions to preferred shareholders ...................... (0.15) (0.16) (0.02) --
-------- -------- -------- --------
NET INCREASE IN NET ASSETS ATTRIBUTABLE TO COMMON
SHAREHOLDERS RESULTING FROM OPERATIONS .......................... 1.87 1.72 2.18 --
-------- -------- -------- --------
DISTRIBUTIONS TO COMMON SHAREHOLDERS:
Net investment income .............................................. (0.35)(d) (0.48) (0.39) --
Net realized gain on investments ................................... (0.25)(d) (0.72) (0.24) --
Return of capital .................................................. -- -- (0.57) --
-------- -------- -------- --------
Total distributions to common shareholders ......................... (0.60) (1.20) (1.20) --
-------- -------- -------- --------
FUND SHARE TRANSACTIONS:
Decrease in net asset value from common share transactions ......... -- -- (0.05) --
Increase in net asset value from repurchase of common shares ....... 0.01 0.02 -- --
Offering costs for common shares charged to paid-in capital ........ -- -- (0.01) --
Offering costs for preferred shares charged to paid-in capital ..... -- (0.04) (0.06) --
-------- -------- -------- --------
Total from capital share transactions .............................. 0.01 (0.02) (0.12) --
-------- -------- -------- --------
NET ASSET VALUE ATTRIBUTABLE TO COMMON SHAREHOLDERS,
END OF PERIOD ................................................... $ 21.90 $ 20.62 $ 20.12 $ 19.26
======== ======== ======== ========
Net asset value total return + ..................................... 9.22% 9.47% 11.56% 1.0%*
======== ======== ======== ========
Market value, end of period ........................................ $ 18.56 $ 17.62 $ 17.95 $ 20.00
======== ======== ======== ========
Total investment return ++ ......................................... 8.81% 4.85% (4.15)% 0.0%**
======== ======== ======== ========

See accompanying notes to financial statements.

THE GABELLI DIVIDEND & INCOME TRUST
FINANCIAL HIGHLIGHTS (CONTINUED)

SELECTED DATA FOR A SHARE OF SIX MONTHS ENDED YEAR ENDED DECEMBER 31, PERIOD ENDED
BENEFICIAL INTEREST OUTSTANDING JUNE 30, 2006 -------------------------- DECEMBER 31,
THROUGHOUT EACH PERIOD: (UNAUDITED) 2005 2004 2003 (g)
---------------- ---------- ---------- ------------

RATIOS AND SUPPLEMENTAL DATA:
Net assets including liquidation value of preferred shares,
end of period (in 000's) .................................... $2,342,750 $2,238,155 $2,006,703 --
Net assets attributable to common shares,
end of period (in 000's) .................................... $1,842,750 $1,738,155 $1,706,703 $1,451,650
Ratio of net investment income to average net assets
attributable to common shares ............................... 4.08%(e) 2.75% 2.17% (0.04)%(e)
Ratio of operating expenses to average net assets
attributable to common shares net of fee reduction .......... 1.42%(e)(f) 1.33%(f) 1.12% 1.38%(e)
Ratio of operating expenses to average net assets including
liquidation value of preferred shares net of fee reduction .. 1.11%(e)(f) 1.12%(f) 1.07% --
Portfolio turnover rate ....................................... 12.7% 25.6% 33.3% 0.4%
5.875% CUMULATIVE PREFERRED STOCK
Liquidation value, end of period (in 000's) ................... $ 80,000 $ 80,000 $ 80,000 --
Total shares outstanding (in 000's) ........................... 3,200 3,200 3,200 --
Liquidation preference per share .............................. $ 25.00 $ 25.00 $ 25.00 --
Average market value (b) ...................................... $ 23.73 $ 24.82 $ 24.68 --
Asset coverage per share ...................................... $ 117.14 $ 111.91 $ 167.23 --
AUCTION RATE SERIES B CUMULATIVE PREFERRED STOCK
Liquidation value, end of period (in 000's) ................... $ 100,000 $ 100,000 $ 100,000 --
Total shares outstanding (in 000's) ........................... 4 4 4 --
Liquidation preference per share .............................. $ 25,000 $ 25,000 $ 25,000 --
Average market value (b) ...................................... $ 25,000 $ 25,000 $ 25,000 --
Asset coverage per share ...................................... $ 117,137 $ 111,908 $ 167,225 --
AUCTION RATE SERIES C CUMULATIVE PREFERRED STOCK
Liquidation value, end of period (in 000's) ................... $ 120,000 $ 120,000 $ 120,000 --
Total shares outstanding (in 000's) ........................... 5 5 5 --
Liquidation preference per share .............................. $ 25,000 $ 25,000 $ 25,000 --
Average market value (b) ...................................... $ 25,000 $ 25,000 $ 25,000 --
Asset coverage per share ...................................... $ 117,137 $ 111,908 $ 167,225 --
6.00% CUMULATIVE PREFERRED STOCK
Liquidation value, end of period (in 000's) ................... $ 65,000 $ 65,000 -- --
Total shares outstanding (in 000's) ........................... 2,600 2,600 -- --
Liquidation preference per share .............................. $ 25.00 $ 25.00 -- --
Average market value (b) ...................................... $ 24.14 $ 24.72 -- --
Asset coverage per share ...................................... $ 117.14 $ 111.91 -- --
AUCTION RATE SERIES E CUMULATIVE PREFERRED STOCK
Liquidation value, end of period (in 000's) ................... $ 135,000 $ 135,000 -- --
Total shares outstanding (in 000's) ........................... 5 5 -- --
Liquidation preference per share .............................. $ 25,000 $ 25,000 -- --
Average market value (b) ...................................... $ 25,000 $ 25,000 -- --
Asset coverage per share ...................................... $ 117,137 $ 111,908 -- --
ASSET COVERAGE (c) ............................................ 469% 448% 669% --

----------
(a) Calculated based upon average common shares outstanding on the record
dates throughout the year.

(b) Based on weekly prices.

(d) Based on fiscal year to date book income. Amounts are subject to change
and recharacterization at fiscal year end.

(e) Annualized.

(f) For the six months ended June 30, 2006 and the year ended December 31,
2005, the effect of the custodian fee credits was minimal.

(g) The Gabelli Dividend & Income Trust commenced investment operations on
November 28, 2003.

(h) The beginning NAV includes a $0.04 reduction for costs associated with the
initial public offering.

* Based on net asset value per share at commencement of operations of $19.06
per share.

** Based on market value per share at initial public offering of $20.00 per
share.

+ Based on net asset value per share, adjusted for reinvestment of
distributions at prices dependent upon the relationship of the net asset
value per share and the market value per share on the ex-dividend dates.
Total return for periods of less than one year are not annualized.

++ Based on market value per share, adjusted for reinvestment of
distributions. Total return for periods of less than one year are not
annualized.

See accompanying notes to financial statements.

TRUSTEES AND OFFICERS
THE GABELLI DIVIDEND & INCOME TRUST
ONE CORPORATE CENTER, RYE, NY 10580-1422

TRUSTEES

Mario J. Gabelli, CFA
CHAIRMAN & CHIEF EXECUTIVE OFFICER,
GAMCO INVESTORS, INC.

Anthony J. Colavita
ATTORNEY-AT-LAW,
ANTHONY J. COLAVITA, P.C.

James P. Conn
FORMER CHIEF INVESTMENT OFFICER,
FINANCIAL SECURITY ASSURANCE HOLDINGS LTD.

Mario d'Urso
CHAIRMAN, MITTEL CAPITAL MARKETS SPA

Frank J. Fahrenkopf, Jr.
PRESIDENT & CHIEF EXECUTIVE OFFICER,
AMERICAN GAMING ASSOCIATION

Michael J. Melarkey
ATTORNEY-AT-LAW,
AVANSINO, MELARKEY, KNOBEL & MULLIGAN

Salvatore M. Salibello
CERTIFIED PUBLIC ACCOUNTANT,
SALIBELLO & BRODER, LLP

Edward T. Tokar
SENIOR MANAGING DIRECTOR, BEACON TRUST COMPANY

Anthonie C. van Ekris
CHAIRMAN, BALMAC INTERNATIONAL, INC.

Salvatore J. Zizza
CHAIRMAN, HALLMARK ELECTRICAL SUPPLIES CORP.

OFFICERS

Bruce N. Alpert
PRESIDENT

Carter W. Austin
VICE PRESIDENT

Peter D. Goldstein
CHIEF COMPLIANCE OFFICER

James E. McKee
SECRETARY

Agnes Mullady
TREASURER

INVESTMENT ADVISER

Gabelli Funds, LLC
One Corporate Center
Rye, New York 10580-1422

CUSTODIAN

State Street Bank and Trust Company

COUNSEL

Skadden, Arps, Slate, Meagher & Flom, LLP

TRANSFER AGENT AND REGISTRAR

Computershare Trust Company, N.A.

STOCK EXCHANGE LISTING

5.875% 6.00%
COMMON PREFERRED PREFERRED
------ --------- ---------
NYSE-Symbol: GDV GDV PrA GDV PrD
Shares Outstanding: 84,128,005 3,200,000 2,600,000

The Net Asset Value appears in the Publicly Traded Funds column, under the
heading "General Equity Funds," in Sunday's The New York Times and in Monday's
The Wall Street Journal. It is also listed in Barron's Mutual Funds/Closed End
Funds section under the heading "General Equity Funds."

The Net Asset Value may be obtained each day by calling (914) 921-5070.

--------------------------------------------------------------------------------
For general information about the Gabelli Funds, call 800-GABELLI
(800-422-3554), fax us at 914-921-5118, visit Gabelli Funds' Internet homepage
at: WWW.GABELLI.COM or e-mail us at: closedend@gabelli.com
--------------------------------------------------------------------------------

--------------------------------------------------------------------------------
Notice is hereby given in accordance with Section 23(c) of the Investment
Company Act of 1940, as amended, that the Fund may, from time to time, purchase
its common shares in the open market when the Fund's shares are trading at a
discount of 7.5% or more from the net asset value of the shares. The Fund may
also, from time to time, purchase its Series A and Series D Cumulative Preferred
Shares in the open market when the shares are trading at a discount to the
Liquidation Value of $25.00.
--------------------------------------------------------------------------------

THE GABELLI DIVIDEND & INCOME TRUST
ONE CORPORATE CENTER
RYE, NY 10580-1422
(914) 921-5070
WWW.GABELLI.COM

SEMI-ANNUAL
JUNE 30, 2006

GDV SA 2006

ITEM 2. CODE OF ETHICS.

Not applicable.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

ITEM 6. SCHEDULE OF INVESTMENTS.

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.

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.

There has been no change, as of the date of this filing, in any of the portfolio
managers identified in response to paragraph (a)(1) of this Item in the
registrant's most recently filed annual report on Form N-CSR.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.

REGISTRANT PURCHASES OF EQUITY SECURITIES
=============================================================================================================================
(C) TOTAL NUMBER OF (D) MAXIMUM NUMBER (OR
SHARES (OR UNITS) APPROXIMATE DOLLAR VALUE) OF
(A) TOTAL NUMBER OF PURCHASED AS PART OF SHARES (OR UNITS) THAT MAY YET
SHARES (OR UNITS) (B) AVERAGE PRICE PAID PUBLICLY ANNOUNCED PLANS BE PURCHASED UNDER THE PLANS
PERIOD PURCHASED PER SHARE (OR UNIT) OR PROGRAMS OR PROGRAMS
=============================================================================================================================

Month #1 Common - N/A Common - N/A Common - N/A Common - 84,313,405
01/01/06
through Preferred Series A - N/A Preferred Series A - N/A Preferred Series A - N/A Preferred Series A - 3,200,000
01/31/06
Preferred Series D - N/A Preferred Series D - N/A Preferred Series D - N/A Preferred Series D - 2,600,000
=============================================================================================================================
Month #2 Common - 98,800 Common - $18.3511 Common - 98,800 Common - 84,313,405 -
02/01/06 98,800 = 84,214,605
through Preferred Series A - N/A Preferred Series A - N/A Preferred Series A - N/A
02/28/06 Preferred Series A - 3,200,000
Preferred Series D - N/A Preferred Series D - N/A Preferred Series D - N/A
Preferred Series D- 2,600,000
=============================================================================================================================
Month #3 Common - N/A Common - N/A Common - N/A Common - 84,214,605
03/01/06
through Preferred Series A - N/A Preferred Series A - N/A Preferred Series A - N/A Preferred Series A - 3,200,000
03/31/06
Preferred Series D - N/A Preferred Series D - N/A Preferred Series D - N/A Preferred Series D - 2,600,000
=============================================================================================================================
Month #4 Common - N/A Common - N/A Common - N/A Common - 84,214,605
04/01/06
through Preferred Series A - N/A Preferred Series A - N/A Preferred Series A - N/A Preferred Series A - 3,200,000
04/30/06
Preferred Series D - N/A Preferred Series D - N/A Preferred Series D - N/A Preferred Series D - 2,600,000
=============================================================================================================================
Month #5 Common - N/A Common - N/A Common - N/A Common - 84,214,605
05/01/06
through Preferred Series A - N/A Preferred Series A - N/A Preferred Series A - N/A Preferred Series A - 3,200,000
05/31/06
Preferred Series D - N/A Preferred Series D - N/A Preferred Series D - N/A Preferred Series D - 2,600,000
=============================================================================================================================
Month #6 Common - 86,600 Common - $18.2856 Common - 86,600 Common - 84,214,605 -
06/01/06 86,600 = 84,128,005
through Preferred Series A - N/A Preferred Series A - N/A Preferred Series A - N/A
06/30/06 Preferred Series A - 3,200,000
Preferred Series D - N/A Preferred Series D - N/A Preferred Series D - N/A
Preferred Series D - 2,600,000
=============================================================================================================================
Total Common - 205,400 Common - $18.3143 Common - 205,400 N/A

Preferred Series A - N/A Preferred Series A - N/A Preferred Series A - N/A

Preferred Series D - N/A Preferred Series D - N/A Preferred Series D - N/A
=============================================================================================================================

Footnote columns (c) and (d) of the table, by disclosing the following
information in the aggregate for all plans or programs publicly announced:

a. The date each plan or program was announced - The notice of the
potential repurchase of common and preferred shares occurs quarterly in
the Fund's quarterly report in accordance with Section 23(c) of the
Investment Company Act of 1940, as amended.

b. The dollar amount (or share or unit amount) approved - Any or all
common shares outstanding may be repurchased when the Fund's common
shares are trading at a discount of 7.5% or more from the net asset
value of the shares.
Any or all preferred shares outstanding may be repurchased when the
Fund's preferred shares are trading at a discount to the liquidation
value of $25.00.
c. The expiration date (if any) of each plan or program - The Fund's
repurchase plans are ongoing.
d. Each plan or program that has expired during the period covered by the
table - The Fund's repurchase plans are ongoing.
e. Each plan or program the registrant has determined to terminate prior
to expiration, or under which the registrant does not intend to make
further purchases. - The Fund's repurchase plans are ongoing.

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 Trustees, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 7(d)(2)(ii)(G) 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 second fiscal
quarter of the period covered by this report that has materially
affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.

ITEM 12. EXHIBITS.

(a)(1) Not applicable.

(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.

(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) The Gabelli Dividend & Income Trust
-------------------------------------------------------------------

By (Signature and Title)* /s/ Bruce N. Alpert
-------------------------------------------------------
Bruce N. Alpert, Principal Executive Officer

Date September 1, 2006
----------------------------------------------------------------------------

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 September 1, 2006
----------------------------------------------------------------------------

By (Signature and Title)* /s/ Agnes Mullady
-------------------------------------------------------
Agnes Mullady,
Principal Financial Officer and Treasurer

Date September 1, 2006
----------------------------------------------------------------------------

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