JTA Nuveen Tax Advantaged Total Return Strategy Fund

ITEM 1. REPORTS TO STOCKHOLDERS.

Closed-End Funds

30 June 2020

Nuveen Closed-End Funds

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (www.nuveen.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting the financial intermediary (such as a broker-dealer or bank) through which you hold your Fund shares or, if you are a direct investor, by enrolling at www.nuveen.com/e-reports.

You may elect to receive all future shareholder reports in paper free of charge at any time by contacting your financial intermediary or, if you are a direct investor, (i) by calling 800-257-8787 and selecting option #2 or (ii) by logging into your Investor Center account at www.computershare.com/investor and clicking on “Communication Preferences.” Your election to receive reports in paper will apply to all funds held in your account with your financial intermediary or, if you are a direct investor, to all your directly held Nuveen Funds and any other directly held funds within the same group of related investment companies.

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Table of Contents

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Chair’s Letter to Shareholders

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Portfolio Managers’ Comments

Nuveen Tax-Advantaged Total Return Strategy Fund (JTA)

The Fund features portfolio management by two affiliates of Nuveen Fund Advisors, LLC, the Fund’s investment adviser. The Fund’s investments in dividend-paying common and preferred stocks and call options written are managed by NWQ Investment Management Company, LLC (NWQ), while the Fund’s investments in senior corporate loans and other debt instruments are managed by Symphony Asset Management LLC (Symphony). James T. Stephenson, CFA, Managing Director of NWQ, along with Thomas J. Ray, CFA, and Susi Budiman, CFA, FRM, manage the NWQ portion of the Fund. Scott Caraher and Jenny Rhee manage the Symphony portion of the Fund.

Subsequent to the reporting period, management announced that effective October 1, 2020, Jenny Rhee will no longer serve as portfolio manager of the Fund.

Here the portfolio management team reviews their management strategies and the performance of the Fund for the six-month reporting period ended June 30, 2020.

An Update on COVID-19 Coronavirus and its Impact on the Securities Markets

Slowing COVID-19 coronavirus infection rates around the world encouraged authorities to loosen restrictions on business and social activity in recent months. While economic indicators have improved considerably from the depths of the shutdown, some regions, including the U.S., have seen an uptick in infection rates after reopening. This may slow the recovery process and contribute to short-term market volatility in the meantime.

Although the detection of the virus in China was made public in December 2019, markets did not start to fully acknowledge the risks and potential economic impact until the latter portion of February 2020, when outbreaks outside of China were first reported. Global stock markets sold off severely, with the S&P 500^® index reaching a bear market (a 20% drop from the previous high) within three weeks, the fastest bear market decline in history. Even certain parts of the bond market suffered; below investment grade municipal and corporate bonds generally dropped the furthest, mostly out of concerns for the continued financial stability of lower quality issuers. Demand for safe-haven assets, along with mounting recession fears, drove the yield on the 10-year U.S. Treasury note to 0.5% in March 2020, an all-time low. Additionally, oil prices collapsed to an 18-year low on supply glut concerns, as shutdowns across the global economy sharply reduced oil demand, although oil prices have recovered to well above those lows.

Central banks and governments have responded with liquidity injections to ease the strain on financial systems and stimulus measures to buffer the shock to businesses and consumers. These measures have helped stabilize the markets over the short term, and most markets have recovered most of their losses. But volatility will likely remain elevated until

This material is not intended to be a recommendation or investment advice, does not constitute a solicitation to buy, sell or hold a security or an investment strategy and is not provided in a fiduciary capacity. The information provided does not take into account the specific objectives or circumstances of any particular investor, or suggest any specific course of action. Investment decisions should be made based on an investor’s objectives and circumstances and in consultation with his or her advisors.

Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Fund disclaims any obligation to update publicly or revise any forward-looking statements or views expressed herein.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s (S&P), Moody’s Investors Service, Inc. (Moody’s) or Fitch, Inc. (Fitch). This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.

Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

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Portfolio Managers’ Comments (continued)

the health crisis itself is under control (via fewer new cases, lower infection rates and/or verified treatments or vaccines). There are still many unknowns and new information is incoming daily, compounding the difficulty of modeling outcomes for epidemiologists and economists alike.

Nuveen, LLC and our portfolio management teams are monitoring the situation carefully and continuously refining our views and approaches to managing the Funds to best pursue investment objectives while mitigating risks through all market environments.

What key strategies were used to manage the Fund during this six-month reporting period ended June 30, 2020?

The Fund is designed to seek a high level of after-tax total return consisting primarily of tax-advantaged dividend income and capital appreciation. In pursuit of this objective, the Fund invests a substantial majority of its assets in common and preferred stocks whose dividends qualify for reduced income tax treatment. The Fund also invests a portion of its assets in senior loans to generate additional income and help mitigate the potential net asset value and income volatility of the Fund’s leverage structure due to changes in long-term and short-term interest rates. In an effort to achieve this, the Fund invests at least 60% in common stocks whose dividends may be eligible for favorable income tax treatment. The Fund also invests to a more limited extent in preferred stocks, which can range from a minimum of 5% to a maximum of 20%, that are eligible to pay tax-advantaged dividends, as well as 20% in senior loans and other debt instruments.

NWQ Key Strategies

For the common and preferred equity portion of the Fund’s portfolio, NWQ continued to employ an opportunistic, bottom-up strategy that focused on identifying undervalued companies possessing favorable risk/reward characteristics as well as what it thought were emerging catalysts that could unlock value or improve profitability. These catalysts included management changes, restructuring efforts, recognition of hidden assets and/or a positive change in the underlying fundamentals. NWQ also focused on downside risk management and paid a great deal of attention to a company’s balance sheet and cash flow statement, not just the income statement. NWQ believes that cash flow analysis offers a more objective picture of a company’s financial position than an evaluation based on earnings alone.

Within the global equity income strategy managed by NWQ, up to 70% of the Fund’s managed assets can be invested in non-U.S. issues of any currency, including up to 20% in emerging market countries. JTA’s investment objective is to achieve a high level of after-tax total return, consisting primarily of tax-advantaged dividend income and capital appreciation. The Fund seeks to obtain a dividend yield above the MSCI World Value Index and employs a value based approach in our bottom up analysis. NWQ looks for attractive absolute valuation, positive risk/reward with downside risk management and catalysts that can drive a positive revaluation of companies.

Symphony Key Strategies

In the senior loan and other debt portion of the Fund’s portfolio, Symphony continued to manage and monitor senior loan market risks. The Fund’s capital remained invested in issuers with strong credit profiles among non-investment grade debt, while offering attractive current income and yield. Fundamentally, Symphony feels that many of these companies have stable businesses, good asset coverage for senior debt holders and could perform well in a stable to slow growth environment.

How did the Fund perform during this six-month reporting period ended June 30, 2020?

The table in the Performance Overview and Holding Summaries section of this report provides total returns for the six-month, one-year, five-year and ten-year periods ended June 30, 2020. The Fund’s total returns at net asset value (NAV) are compared with the performance of a corresponding market index. For six-month reporting period June 30, 2020, the Fund’s common share at NAV underperformed the S&P 500^® Index and its secondary Blended Benchmark.

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Effective June 30, 2020, the Blended Benchmark was changed to 72% MSCI World Value (Net) 8% ICE BofA Preferred DRD Eligible 20% Credit Suisse Leverage Loan to better reflect both NWQ sleeves’ investment strategies, retroactively as of inception date.

NWQ

The equity portion of the Fund’s portfolio, managed by NWQ, was negative on a total return basis and underperformed the sleeve benchmark, the MSCI World Value Index during the period. Global equity markets were roiled by the COVID-19 crisis, which has generated an unprecedented exogenous shock to the global economy. Volatility picked up dramatically. However, risk assets rebounded strongly in the second half of the reporting period following one of the worst performing periods since the financial crisis in 2008. As much as the speed of the decline was extreme in the first half of the reporting period, almost the same could be said about the recovery across the majority of asset classes in the second half of the reporting period.

Within equities, aside from a short-lived rally in value stocks towards the end of May 2020, growth continued to dislocate from value, driving the performance gap between the two styles to a historic level. During the second half of the reporting period, growth continued to outperform value within international equities. The COVID-19 crisis has created an environment for growth stocks to outperform as technology, health care, and other defensive sectors have been prime beneficiaries of the crisis, while financials, energy and other cyclical industries have suffered from the economic slowdown. Not surprisingly, earnings revisions have been highest in sectors such as consumer discretionary, energy, financials and real estate sectors, which have borne the brunt of the crisis.

The largest detractors from performance relative to the sleeve benchmark was security selection in the financials, consumer staples and utilities sectors. Security selection and an overweight in both the information technology and health care sectors were the largest contributors to performance relative to the sleeve benchmark. Geographically, investments in the United States and emerging markets lagged and detracted from relative returns for the reporting period, while performance benefited from exposures in the United Kingdom and Japan.

Among the portfolio’s top detractors from absolute performance were Delta Air Lines Inc, MGM Growth Properties and AIB Group PLC. Delta Air Lines underperformed due to the sharp decline in airline travel owed to the COVID-19 crisis. NWQ eliminated the position on concerns over the company’s increased debt load. MGM Growth Properties saw a massive decline as many casino REITs across the country shut down operations as the COVID-19 crisis forced the nation to shelter-in-place. Although MGM Growth Properties’ tenant is a high quality casino operator, the potential for lease restructuring and resulting negative impact on net operating income (NOI) quickly resulted in a devaluation of the stock. Given the uncertain duration of the shelter-in-place” mandate, NWQ chose to exit the position. AIB Group has faced difficulty reducing costs prior to Brexit thereby increasing its overall earnings risk. While valuation, capital return and a strong balance sheet are reasons NWQ continues to hold the stock, NWQ reduced their exposure in AIB given the earnings downgrades and continue to actively monitor the company.

Among the portfolio’s top contributors to absolute performance were Microsoft Corp, Nintendo Co. Ltd., and Lowe’s Companies, Inc. Microsoft outperformed on better than expected quarterly earnings and revenue results as each of their business units and geographies delivered strong growth. Additionally, the company saw strong demand for their products due to social distancing and shelter-in-place measures stemming from the COVID-19 crisis. Nintendo outperformed as the Nintendo Switch entertainment console was a key beneficiary of “stay-at-home” orders due to the COVID-19 crisis, as consumers are choosing video games as one of their primary ways to spend their additional discretionary time. The launch of their latest title, Animal Crossing, has been extremely well received. Lowe’s outperformed on very strong quarterly earnings and a jump on same-store-sales driven by the COVID-19 crisis related items such as cleaning/essential products and specific “do-it-yourself” categories.

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Portfolio Managers’ Comments (continued)

Symphony

The senior loan portfolio managed by Symphony was negative on a total return basis during the reporting period, underperforming the broader loan market as measured by the Credit Suisse Leveraged Loan Index.

The senior loan portfolio of the Fund is invested predominantly in first-lien, senior secured corporate loans. Symphony generally focuses on issuers that have strong asset coverage, defensible businesses, and larger loan facilities. These loans are generally referred to as broadly syndicated loans. The loan portfolio of the Fund was conservatively positioned throughout the reporting period, favoring higher quality loans.

For the six-month reporting period, the U.S. senior loan market, as measured by the Credit Suisse Leveraged Loan Index (“the Index”), returned -4.76%. The six-month reporting period reflected two phases of extreme volatility for risk assets: an abrupt and historic sell-off in U.S. risk assets during the first half of the reporting period followed by a strong recovery in the second half of the reporting period. Risk assets including senior loans sold off by degrees not seen since the 2008 Global Financial Crisis, as COVID-19 evolved into a global crisis during the first half of the reporting period. In response, U.S. authorities implemented mitigation policies, resulting in the shuttering of most “non-essential” businesses. Typically, in a flight-to-quality environment, senior loans tend to outperform high yield bonds given its seniority in the corporate capital structure. However, during the first half of the reporting period, there were heavy outflows from retail loan funds following the Fed’s rate cut decision. As a result, the decline in loans was comparable to that of high yield bonds. Negative performance was broad-based with the all loan sectors declining, but higher quality issues outperformed lower quality issues in the first quarter of 2020.

During the second half of the reporting period, a recovery in risk assets, including senior loans, was strong, supported by extraordinary monetary easing measures, combined with signs of an economic recovery as the COVID-19 lockdowns eased. The senior loan market had its best quarter since 2009. While higher rated (BBB-/BB-) loans were the first to recover, lower quality loans outperformed as investors’ risk sentiment improved following unprecedented support from the Fed and Congress. Investors’ increased risk appetite was also reflected in their willingness to buy issues that were meaningfully affected in the March 2020 sell-off, including energy issuers. The new issue market for senior loans was relatively muted, but has been consistently improving month-over-month.

Notably detracting from relative performance during the reporting period was exposure to equities received from reorganizations that fell in concert with the broader equity market, as well as overweights in industries facing unprecedented revenue declines due to the COVID-19 crisis, including gaming/leisure and transportation. Also detracting from relative performance was disappointing issue selection within energy. Specifically, exposure to Fieldwood Energy LLC, an oil and gas exploration and production company. Despite having a highly attractive deep-water portfolio that became increasingly economical as oil prices recovered, Fieldwood’s loans remained under severe pressure as the company worked with lenders on potential restructuring. The Fund continues to hold its position in Fieldwood Energy LLC.

Serving to partially offset the underperformance during the reporting period was an active overweight exposure to BBB rated loans and an underweight exposure to CCC rated loans contributed to relative performance against the Index, as higher quality assets outperformed lower rated issues. This was particularly the case during the massive risk asset sell-off in late February and March 2020. Also aiding relative performance was good issue selection in the retail and services sectors. The Fund underweighted issuers severely impacted by the COVID-19 crisis, including several travel services providers and a media equipment rental company. Within retail, the Fund avoided exposure to brick-and-mortar stores such as J.C. Penny Corporation and Neiman Marcus, which were also hit hard by COVID-19. Additionally, PetSmart Inc. loans recovered strongly in late March 2020 and the second half of the reporting period, driven by better than expected earnings results and improved liquidity profile following bond issuances. The Fund continues to hold positions in PetSmart.

The Fund also wrote call options to manage risk and hedge against adverse movement in a security held in the portfolio. These positions had a negligible impact on performance during the reporting period.

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Fund Leverage

IMPACT OF THE FUND’S LEVERAGE STRATEGY ON PERFORMANCE

One important factor impacting the returns of the Fund’s common shares relative to its comparative benchmarks was the Fund’s use of leverage through bank borrowings. The Fund uses leverage because our research has shown that, over time, leveraging provides opportunities for additional income. The opportunity arises when short-term rates that the Fund pays on its leveraging instruments are lower than the interest the Fund earns on its portfolio securities that it has bought with the proceeds of that leverage. This has been particularly true in the recent market environment where short-term rates have been low by historical standards.

However, use of leverage can expose Fund common shares to additional price volatility. When the Fund uses leverage, the Fund’s common shares will experience a greater increase in their net asset value if the securities acquired through the use of leverage increase in value, but will also experience a correspondingly larger decline in their net asset value if the securities acquired through leverage decline in value. All this will make the shares’ total return performance more variable over time.

In addition, common share income in levered funds will typically decrease in comparison to unlevered funds when short-term interest rates increase and increase when short-term interest rates decrease. In recent quarters, fund leverage expenses have generally tracked the overall movement of short-term interest rates. While fund leverage expenses are somewhat higher than their recent lows, leverage nevertheless continues to provide the opportunity for incremental common share income, particularly over longer-term periods.

The Fund’s use of leverage had a negative impact on total return performance during this reporting period. The negative impact of leverage during the brief but severe COVID-19 induced market downturn in March was greater than the positive impact of leverage during the remainder of the reporting period. More specifically, this net negative contribution of leverage was amplified during the market downturn in part because the Fund used proceeds from portfolio sales to pay down borrowings and reduce its elevated leverage ratio, which rose as prices of portfolio securities, including those sold for de-levering purposes, declined. Conversely, as financial markets recovered and asset prices steadied, the Fund gradually increased leverage levels, using proceeds to purchase new portfolio securities at generally higher prices. Management believes, however, that the potential benefits from leverage continue to outweigh the associated increase in risk and total return variability previously described.

The Fund continued to use interest rate swap contracts to partially hedge its future interest cost of leverage. The impact of the swap contracts on performance was negative during the reporting period.

As of June 30, 2020, the Fund’s percentages of leverage are as shown in the accompanying table.

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Refer to Notes to Financial Statements, Note 9 – Borrowing Arrangements for further details.

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Common Share Information

DISTRIBUTION INFORMATION

The following information regarding the Fund’s distributions is current as of May 31, 2020, the date of the distribution data included within the Fund’s most recent distribution notice at the time the report was prepared. The Fund’s distribution levels may vary over time based on the Fund’s investment activities and portfolio investment value changes.

The Fund has adopted a managed distribution program. The goal of the Fund’s managed distribution program is to provide shareholders relatively consistent and predictable cash flow by systematically converting its expected long-term return potential into regular distributions. As a result, regular distributions throughout the year will likely include a portion of expected long-term and/or short-term gains (both realized and unrealized), along with net investment income.

Important points to understand about Nuveen fund managed distributions are:

The following table provides information regarding the Fund’s distributions and total return performance over various time periods. This information is intended to help you better understand whether the Fund’s returns for the specified time periods were sufficient to meet its distributions.

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The following table provides estimates of the Fund’s distribution sources, reflecting year-to-date cumulative experience through the latest month-end. These estimates are for informational purposes only. The Fund attributes these estimates equally to each regular distribution throughout the year. Consequently, the estimated information shown below is for the current distribution, and also represents an updated estimate for all prior months in the year.

The amounts and sources of distributions reported in this notice are for financial reporting purposes and are not being provided for tax reporting purposes. The actual amounts and character of the distributions for tax reporting purposes will be reported to shareholders on Form 1099-DIV which will be sent to shareholders shortly after calendar year-end. More details about the Fund’s distributions and the basis for these estimates are available on www.nuveen.com/cef.

NUVEEN CLOSED-END FUND DISTRIBUTION AMOUNTS

The Nuveen Closed-End Funds’ monthly and quarterly periodic distributions to shareholders are posted on www.nuveen.com and can be found on Nuveen’s enhanced closed-end fund resource page, which is at https://www.nuveen.com/resource-center-closed-endfunds, along with other Nuveen closed-end fund product updates. To ensure timely access to the latest information, shareholders may use a subscribe function, which can be activated at this web page (https://www.nuveen.com/subscriptions).

COMMON SHARE REPURCHASES

During August 2020 (subsequent to the close of the reporting period), the Fund’s Board of Trustees reauthorized an open-market share repurchase program, allowing the Fund to repurchase an aggregate of up to approximately 10% of its outstanding shares.

As of June 30, 2020, and since the inception of the Fund’s repurchase program, the Fund has cumulatively repurchased and retired its outstanding common shares as shown in the accompanying table.

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During the current reporting period, the Fund did not repurchase any of its outstanding common shares.

OTHER COMMON SHARE INFORMATION

As of June 30, 2020, and during the current reporting period, the Fund’s common share price was trading at a premium/(discount) to its common share NAV as shown in the accompanying table.

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Risk Considerations

Fund shares are not guaranteed or endorsed by any bank or other insured depository institution, and are not federally insured by the Federal Deposit Insurance Corporation.

Nuveen Tax-Advantaged Total Return Strategy Fund (JTA)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Common stock returns often have experienced significant volatility. Adjustable Rate Senior Loans may not be fully secured by collateral, generally do not trade on exchanges, and are typically issued by unrated or below-investment grade companies, and therefore are subject to greater liquidity and credit risk. Lower credit debt securities may be more likely to fail to make timely interest or principal payments. Leverage increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage strategy will be successful. For these and other risks, including tax risk, please see the Fund’s web page at www.nuveen.com/JTA.

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Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

Common Share Price Performance — Weekly Closing Price

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This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.

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