One way to answer that is that the Universe is in fact Nature itself, what ever it is. But when we ask the nature of something we really mean what is its essence and essence is composed of characteristic attributes and their mutual constraints which we normally answer by talking about Fundamental Forces and Particles/Waves. In other words the normal answer comes from Physics which searches perhaps in vain for a theory of everything. Until we have that theory of everything we really won’t have an answer to this question, and right now physics is composed of two standard answers (QM and Relativity) that give contradictory answers to this question, when they encounter each other at the Planck scale. So the answer may have to wait indefinitely until we work out the quandaries that have shown up in physics, that String theory is trying to solve. But we are so far from testing String theories that it will be a long time before we probably get any evidence that we can rely on even if we do get a theory out of String theory.
Another answer to the question is that the very idea of a Universe itself is a kind of schematic projection. In General Schemas Theory there are ten schemas the top ones are domain, world, kosmos and pluriverse. The idea of the physical universe is an kind of Kosmos that we project in the Metaphysical Era. Previously before Anaxmander, i.e. in the Mythopoietic Era we projected a different kind of mythic kosmos. Thus the idea of the physical universe is a product of natural philosophy which is a way of looking at the universe that sees it as different from us in its organization, i.e. there are natural laws and fundamental entities instead of gods. So another way to phrase the question is: How do we schematize the Kosmos as Universe in the Metaphysical Era? And there is the question of whether there is some other non-metaphysical era after the Metaphysical Era. In philosophy everyone tries to come up with something that will finally kill off the Metaphysical. Heidegger said Nietzsche was the last metaphysical philosopher. Of course, others say Heidegger is the the last metaphysical philosopher and they are the first non-metaphysical philosopher. And so it goes seemingly ad infinitum.
However, there is a result out of String theory that I think puts and end to the Metaphysical era. And that comes from F theory, which is in the 12th dimension beyond M theory in the 11th dimension which unifies the five String theories in the 10th dimension. F theory has an oddity that it produces two orthogonal time lines rather than merely having one. I think one of the fundamental assumptions of Metaphysics is that there is only one dimension of time. And if that is not true that would open up a new era which I call Heterochronic. In other words the symmetry breaking that produced the transformation from mythology to metaphysical had to do with time, and probably the demise of the metaphysical also has to do with time, and one thing we cannot handle within the metaphysical framework is an orthogonal timeline. This possibility was proposed by Dunne in the twenties based on Hintons popularization of four dimensional space, he asked if there could be multidimensional time which he called the serialized universe. We moved from the mythopoietic to the metaphysical by a symmetry breaking that moved us from having four moments of time to having three moments of time only. The fourth moment of time was mythic time that we lost, and which the gods inhabited. Heidegger characterized the metaphysical era as the flight of the gods and says that it will be over when the last god flees. If we realize that time originally had four moments that were not perceived as linear which included a mythic moment then we can understand better what happened when we moved into the metaphysical era, we lost a moment of time and with that loss the gods lost their reality. Mythology was the story of what happened in that original moment of time that was parallel to humanly experienced time. In fact in many languages future and past actually collapse together, and also the present and mythic time collapse together, and then all four moments are equiprimoridal. Now if this is true what it tells us is that in Heterochrony we get back the mythic moment, as an orthogonal temporality. What was mythic before becomes parallel temporalities of the pluriverse.
Anyway this post-metaphysical way of thinking that includes parallel and orthogonal times as well as normal linear time or circular time means that the answer to your question takes on again another meaning. The question becomes what is the nature of the universe within the pluriverse given heterochrony rather than merely having only linear time. And that is precisely what we are starting to try to answer now that people are taking seriously the idea of the Multiverse based on String theory and upon the idea of David Deutsch that quantum phenomena is the interference of multiple universes with each other.