There are seven naturally occurring diatomic molecules. What are they?

Well, five of them are gases, one a liquid, and one a solid at #25^@ "C"# and #"1 atm"#. But if you mean which ones actually are found as such,

• #"N"_2# and #"O"_2# are found in the air (#78%//21%#), as we know.
• Most hydrogen on Earth is found in compounds (e.g. water), and in its atomic or plasma form, although stars and gas giant planets contain plenty of #"H"_2#.
• Fluorine is typically found in minerals as the fluoride anion, such as #"CaF"_2#. Supposedly, there may be trace #"F"_2# in there...
• Chlorine is typically found as the anion in #"NaCl"#, and occasionally in minerals in nature.
• Bromine is typically found also as an anion in a mineral halide salt, i.e. #"NaBr"#, etc.
• Iodine typically is found in sea water and oceans as iodate or iodide, but never #"I"_2#.

The five gases are #"H"_2#, #"N"_2#, #"O"_2#, #"F"_2#, and #"Cl"_2#, while the liquid is #"Br"_2# and the solid is #"I"_2#. To prove it, here are their respective boiling points at #"1 atm"#:

#T_b(H_2) = -252.9^@ "C"#
#T_b(N_2) = -195.8^@ "C"#
#T_b(O_2) = -183.0^@ "C"#
#T_b(F_2) = -188.1^@ "C"#
#T_b(Cl_2) = -34.04^@ "C"#
#T_b(Br_2) = 58.00^@ "C"#
#T_b(I_2) = 184.2^@ "C"#

You should be able to say why these show that the molecule is a gas, liquid, or solid at room temperature, i.e. for which of these is #T_b > 25^@ "C"# (if so, we have a liquid), etc.