This paper proposes a methodology to identify and protect vulnerable components of connected gas and electric infrastructures from malicious attacks, and to guarantee a resilient operation by deploying valid corrective actions (while accounting for the interdependency of gas pipeline network and power transmission network). The proposed mathematical formulation reduces to a tri-level optimization problem, where the lower level is a multiperiod economic dispatch of the gas-electric system, the middle level distinguishes the most threatening attack on the coupled physical infrastructures, and the upper level provides optimal preventive decisions to reinforce the vulnerable components and increase the system resilience. By reformulating the lower level problem as a mixed integer linear programming (MILP), a nested column-and-constraint generation (C&CG) algorithm is developed to solve the min-max-min model. Case studies on two test systems demonstrate the effectiveness and efficiency of the proposed methodology.Index Terms-natural gas system, power system, interdependency, tri-level optimization, vulnerability.