The Australian assets of the unit, which operates renewable power plants in eight countries, are worth about 4 billion Australian dollars ($2.62 billion), the newspaper said.
The operation was first reported by Australian Financial Review.
Naturgy holds a 75% stake in Global Power Generation while Kuwait's sovereign fund KIA owns 25%, according to Naturgy's website.
A spokesperson for Naturgy declined to comment. Morgan Stanley and KIA were not immediately available for comment.
($1 = 1.5263 Australian dollars)
(Reporting by Jakub Olesiuk; editing by Inti Landauro)