This is probably one of the most important questions that surrounds Thoreau in his time in the natural setting. I think that the first part of an answer to this question is that he felt a great deal of connection and unity with his natural setting. I think that Thoreau felt a genuine disconnect between his place in the manmade constructs of social conformity. He felt that he didn't belong and understood that it was a philosophical disconnect to try to belong. Yet, none of this exists when he is in the natural setting:
I was suddenly sensible of such sweet and beneficent society in Nature, in the very pattering of the drops, and in every sound and sight around my house, an infinite and unaccountable friendliness all at once like an atmosphere sustaining me.
The connection and inter-connectivity he experiences while in the natural setting provides a feeling of pure bliss, something that enables him to feel more comfortable with being in nature than at any other point prior to it. For Thoreau, being in nature enables him to feel better about himself because it is true and almost primal, in the way that he is immersed in a setting of which he is a part. It is to this extent of feeling comfortable and content, almost a sense of synchronicity coming over him, that describes his feelings about existing in the natural setting.