In the Finder, select Go menu, then Go To Folder...
Type /Library/Desktop Pictures/Nature
Are they in there? If so you've probably just lost the Nature link in System Preferences, in which case go to System Prefs>Desktop & Screen Saver, select the Desktop tab, and use the + button to add
Macintosh HD/Library/Desktop Pictures/Nature
Also it's possible that the permissions on that folder have become corrupted in which case using Disk Utility to repair permissions on Macintosh HD ought to correct.
Here's the list of all the pictures that ought to be in that nature folder, just for comparison:-
Aurora.jpg
Golden Palace.jpg
Snow Leopard.jpg
Cirques.jpg
Horizon.jpg
Snowy Hills.jpg
Clown Fish.jpg
Iceberg.jpg
Stones.jpg
Dew Drop.jpg
Ladybug.jpg
Summit.jpg
Earth Horizon.jpg
Leopard Aurora.jpg
Tahoe.jpg
Earth.jpg
Pond Reeds.jpg
Tranquil Surface.jpg
Evening Reflections.jpg
Rock Garden.jpg
Water.jpg
Flowing Rock.jpg
Rocks.jpg
Zebra.jpg
Gentle Rapids.jpg
Snow Leopard Prowl.jpg