The missing piece of the puzzle here is that even though naturalism might not claim to be able to explain everything—as you seem to be asserting with regard to methodological naturalism—naturalism induces a sort of unconscious acceptance of this claim. (For some people—namely atheists—it becomes a conscious acceptance.)
As a result, the common assumption in our society is that all phenomena necessarily have a “scientific explanation.”
Anyway, as I was saying. Naturalism has never come close to providing an explanation for consciousness or self. You can put energy on the list, too.
Indeed, I’d go further and say that naturalism may be approaching, may already have exceeded, it’s natural limits, for examples: in matters of the largest and smallest scales.
Consider, today’s speculations on multi-verse or strings, are so far from confirming physical evidence, they take on some or the characteristics of ancient debates over the substance (homoiosis) of Deity.