The natural orbitals renormalization group (NORG) has previously been proposed as an efficient numerical method for solving zero-temperature properties of multisite and multiorbital quantum impurity systems. Here, we implement the NORG as an impurity solver for dynamical mean-field theory (DMFT). In comparison with the exact diagonalization method, the NORG method can treat much more bath sites in an impurity model to which the DMFT maps a lattice model and can find accurate zero-temperature Matsubara and low-frequency retarded Green's functions. We demonstrate the effectiveness of this method on a two-orbital Hubbard model on the Bethe lattice and find successfully the orbital selective Mott transition with a Kondo resonance peak in the wide band and two holon-doublon bound state excitation peaks in the narrow band.