Natural construction

Python 2, 26 bytes

f=lambda n:map(f,range(n))

Test it on Ideone.

JavaScript (ES6), 32 bytes

f=n=>[...Array(n).keys()].map(f)

Simple enough.

Jelly, 3 bytes

Ḷ߀

This is a monadic link. Try it online!

How it works

Each natural number is the set of all previous natural numbers, i.e., n = {0, …, n-1}. Since there are no natural numbers preceding 0, we have that 0 = {}.

Ḷ߀  Monadic link. Argument: n (natural number)

Ḷ    Unlength; yield [0, ..., n-1].
 ߀  Recursively map this link over the range.