One of the many problems consciousness poses for naturalism (the view that only the natural world exists. There is no supernature) is the difficulty of explaining how consciousness could have evolved. Natural selection acts on physical bodies, but consciousness seems to be something altogether different from physical, material body.
Barry Arrington at Uncommon Descent highlights the problem when he writes:
Consciousness could not have evolved from “simpler” states of matter, because it is not a state of matter. To say that consciousness evolved from matter is like saying Newton’s theory of gravity evolved from apples.This is a serious problem for naturalism because most naturalists hold that naturalism entails physicalism - i.e. the view that physics fixes all the facts about the world - and materialism - the view that all of reality is reducible to matter. Consciousness, however, does not seem to be something explicable in terms either of physics or matter which means that it is a prima facie defeater for naturalism.
Even if for the sake of argument one concedes that natural selection might account for the development of a material body, consciousness remains a mystery. There is still a vast uncrossable gulf between the physical body and mind. In other words, the difference between body and mind is qualitative, not quantitative. You can’t get an immaterial mind no matter how many slight successive modifications of the body there may have been.
Naturalists can avoid utter defeat by conceding that both physicalism and materialism are false and trying somehow to enfold consciousness into a naturalistic ontology, but this would be an accommodation most naturalists would find devastating. Indeed, this is what philosopher Thomas Nagel tries to do in his much discussed book Mind and Cosmos, and he's been roundly thrashed by his fellow naturalists for his heresy.
Naturalism dominated philosophy for the two centuries from about 1750 to 1950, but it appears that work being done in the last couple of decades in the philosophy of mind is bringing an end to the hegemony it once enjoyed and making it increasingly difficult to be an "intellectually fulfilled atheist," as Richard Dawkins once put it.