GaN-based light-emitting diodes (LEDs) with naturally formed nano pyramids roughened surfaces grown by metal organic chemical vapor deposition (MOCVD) were demonstrated. In this study, Mg-treatment, a growth-interruption step and a surface treatment using biscyclopentadienyl magnesium (CP2Mg), was performed to form the nano pyramids on the surface of a p-type cladding layer, and then a p-type contact layer was grown on the p-type cladding layer, so as to create a p-type contact layer with a rough surface. Assisted by the nano pyramids surface roughening process, the light output power of the LEDs reached 11.3 and 9.7 mW with 10 and 5 min Mg-treatment at a driving current of 20 mA. The light outputs were increased by 48 and 27%, respectively, compared with the results from the LED without Mg-treatment.