Concept:
Natural gas is a fossil fuel composed mainly of methane.
Step 1: Identify the major component.
Natural gas contains about \(85\%-95\%\) methane along with small amounts of ethane, propane, butane and other gases.
Step 2: Analyse the options.
• Methane -- Main component of natural gas. \checkmark
• Oxygen -- Supports combustion but is not a component of natural gas.
• Hydrogen -- Not the principal constituent.
• Carbon dioxide -- Present only in trace amounts.
Step 3: Final conclusion.
Hence, the main component of natural gas is
\[
\boxed{\text{Methane}.}
\]