This Semi-Annual Report contains certain forward-looking statements within the meaning of Section 27A of the Securities Act of 1933. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of Macquarie Capital Investment Management LLC (“MCIM” or “Manager”) and its respective representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical facts. For example, forward-looking statements may include the use of words such as “anticipate,” “estimate,” “intend,” “expect,” “believe,” “plan,” “may,” “should,” “would,” or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the Fund’s actual results, performance or achievements to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. Past performance is not a reliable indication of future performance. When evaluating the information included in this Semi-Annual Report, you are cautioned not to place undue reliance on these forward looking statements, which reflect the judgment of MCIM and its respective representatives only as of the date hereof. We undertake no obligation

to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.

Capitalized terms, used but not defined herein, have the meaning assigned to them in the Fund’s prospectus.

Investments in the Macquarie Global Infrastructure Total Return Fund Inc. (“MGU” or “Fund”) are not deposits with or other liabilities of Macquarie Bank Limited ABN 46 008 583 542 (“MBL”) nor any Macquarie Group company and are subject to investment risk, including possible delays in repayment and loss of income and principal invested. Neither MBL nor any other member company of the Macquarie Group guarantees the performance of the Fund or the repayment of capital from the Fund or any particular rate of return.

Introduction

We are pleased to present this Semi-Annual report to the stockholders of Macquarie Global Infrastructure Total Return Fund Inc. (“MGU” or “Fund”) for the six months ended May 31, 2012 (“Period”). The Fund commenced operations and began trading on the New York Stock Exchange on August 26, 2005.

Performance & Portfolio Review

The NAV total return for the Fund and certain indices for the Period are summarized in the table below. Although the Fund is not managed toward any benchmark, we believe the following indices offer a helpful frame of reference.

There were a number of drivers of the Fund’s return during the Period:

Following is a further analysis of each of these factors.

Transportation Infrastructure

The transportation infrastructure sectors were mixed over the Period, with Airports performing well, while Seaports and Toll Roads lagged.

In the Airports sector, Beijing Capital International Airport was up strongly. It announced impressive FY2011 results that were above market expectations. Mexico’s Groupo Aeroportuario del Sureste was another outperformer following its announcement of solid Q1 results. Australian Infrastructure Fund continued to benefit from the sale of noncore assets to focus on airports. Sydney Airport posted strong returns, while Aeroports de Paris also performed well. It reported Q1 results in line with expectations and announced plans to acquire 38% of TAV, the leading airport operator in Turkey and owner of Istanbul Atatürk Airport.

German Seaport company Hamburger Hafen und Logistik was down despite announcing strong FY2011 results and an 18% increase in its dividend. The market was then disappointed with a slightly weaker Q1 earnings result and a marginal downgrade to guidance for FY2012.

Toll Road stocks also underperformed. Atlantia in Italy and Abertis Infraestructuras in Spain were weak primarily due to macro concerns. In addition, Atlantia did report lower traffic on its Italian roads, while S&P downgraded Abertis’ credit rating one notch. By contrast, Vinci in France, Jiangsu Expressway in China and Transurban in Australia outperformed.

Utilities

There was a strong contribution from regulated utilities, such as Electricity and Gas Distribution entities.

Spark Infrastructure, an Australian regulated electricity distribution company, performed well due to its stable, defensive cash flows and high yield. Spark also increased its dividend guidance. Tokyo Gas announced it had completed the Chiba-Kashima transmission pipe after six years of construction, which will enable growth in industrial gas volumes. Centrica in the United Kingdom performed well, following its earnings reports which were in line with expectations.

Electricity transmission companies also performed well due to their defensive nature, led by National Grid which benefitted from a positive regulatory decision in the UK. The company also reported FY2012 earnings above consensus.

In the US, NextEra Energy, a low–risk integrated utility, outperformed, as did PG&E.

By contrast with the regulated utilities, the European integrated utilities were generally weak as they were weighed down by macro concerns and a deteriorating operating environment. GDF Suez in France was down after management downgraded guidance for FY 2012, while it reported Q4 earnings in line with expectations. There were also concerns about the impact of the French election result on its regulated business in France. In Germany, E.ON was weaker after announcing a softer outlook.

Pipelines

Investors continued to seek the Pipelines sector’s attractive yield in the current low interest rate environment. The major contributors to the Fund’s return were Williams Cos, Enterprise Products Partners and Magellan Midstream Partners in the US. Each of them reported strong operational results, and Enbridge Inc in Canada benefited from positive sentiment. By contrast, Enagas in Spain detracted as it reported results slightly below market expectations and was affected by the weaker Spanish equity market.

Water

The regulated UK water utilities such as Severn Trent and United Utilities again outperformed. They both reported solid full year results, and Severn Trent announced a special dividend. They also benefitted from their very defensive

‘safe haven’ status when markets turned down late in the Period, as well as from media speculation of a bid for Severn Trent. American Water Works also performed well after management issued guidance above sell side expectations.

Strong US Dollar

As the Fund was hedged for currency to a limited degree, the appreciation in the US Dollar detracted from the Fund’s return during the period. The USD appreciated by 9%, 6%, 2% and 2% against the Euro, the Australian Dollar, the British Pound and the Canadian dollar respectively⁽⁵⁾. Altogether, investments in these currencies comprised almost 50% of the globally diversified portfolio’s security positions at the end of the Period.

Leverage

As of May 31, 2012, the Fund had USD 93 million and EUR 20 million in leverage outstanding and USD 7 million of available commitments. The Fund’s leverage was 26.5%, which is well within the limit outlined in the Fund’s Prospectus. To mitigate the USD exposure due to leverage, the Fund also borrowed in Euro to partially match the currency exposure of the investments with the currency of the borrowings.

As always, we balance the cost of leverage against the longer term potential for enhanced yield and capital returns.

Performance Relative to the MGII

The Fund, which is not managed against any benchmark, outperformed its reference benchmark, the Macquarie Global Infrastructure Index (“MGII”).

The main contributors were the underweight and stock selection in Electric Utility, the overweight and stock selection in Airports and Electricity and Gas Distribution, and the overweight in Communications. The main detractors were stock selection in Seaports and Toll Roads.

Distributions

In December 2011, the Fund paid a regularly scheduled quarterly distribution of $0.20 per share, which was a $0.02 increase over the prior quarter. In March 2012, the Board approved an additional $0.04 per share increase in the regular quarterly distribution to $0.24 per share, paid on March 30, 2012. The March distribution represents an increase of 20% over the previous distribution and 50%, or $0.08 per share, over the distribution for the third quarter of 2010. Altogether, the Fund paid a total of $0.44 per share in distributions during this period.

A portion of the distributions may be treated as paid from sources other than net income, including, but not limited to, short-term capital gain, long-term capital gain and return of capital. The final determination of the source of all distributions in 2012, including the percentage of qualified dividend income, will be made by the Fund after December 31, 2012.

Outlook

In the last two months of the Period, global equity markets reversed some of the strong gains made in the previous six months. Market anxiety was ignited by the unexpected outcome of the first Greek election, which served as a stark reminder to markets that Europe’s debt problems are not able to be quickly resolved. The weaker data in China stoked concerns that the engine of global growth may

be in the process of slowing more than expected and more than the Chinese authorities would like.

The heightened negativity in global markets does not, however, necessarily translate into the operational performance of infrastructure assets and the companies that own them. Indeed, we continue to see companies in the portfolio performing largely in line with expectations.

We continue to identify what we believe are attractive listed infrastructure opportunities and are looking for opportunities to selectively increase our holding or introduce to the portfolio stocks which we believe are oversold. We continue to remain very cautious and selective, particularly with exposure to Europe due to its heightened risk profile, regulatory risk and weak growth outlook.

As interest rates continue to decline around the world, reliable sources of yield that are higher than inflation continue to be sought by investors. We believe the infrastructure sector has many companies with sustainable and growing yields above the rate of inflation.

Conclusion

The Fund’s investment strategy is to invest in the listed securities of companies globally that own and/or operate infrastructure assets that we believe provide essential services, have strong strategic positions,

and are well positioned to generate sustainable and growing cash flow streams for shareholders from their infrastructure assets.

We believe that MGU provides US investors with an attractive vehicle to access the broad global universe of listed infrastructure securities. We continue to appreciate your investment in the Fund.

For any questions or comments you may have, please call us at 1-800-910-1434 or visit us online at www.macquarie.com/mgu.

Yours sincerely,

Andrew Maple-Brown

Portfolio Manager

Brad Frishberg

Chief Executive Officer

1. Organization and Significant Accounting Policies

MGU is a non-diversified, closed-end investment management company registered under the Investment Company Act of 1940 (the “1940 Act”) and organized under the laws of the State of Maryland. The Fund’s investment objective is to provide to its common stockholders a high level of total return consisting of dividends and other income, and capital appreciation. The Fund commenced operations on August 26, 2005. The Fund had no operations prior to August 26, 2005 except for the sale of shares to MCIM (formerly named Macquarie Fund Adviser, LLC). The Fund’s common shares are listed on the New York Stock Exchange (“NYSE”) under the ticker “MGU”.

The Fund has elements of risk, including the risk of loss of principal. There is no assurance that the investment process will consistently lead to successful results. An investment concentrated in sectors and industries may involve greater risk and volatility than a more diversified investment.

The Fund’s financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”). This requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities

and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from these estimates.

The following summarizes the significant accounting policies of the Fund.

Cash and Cash Equivalents: Cash equivalents are funds (proceeds) temporarily invested in original maturities of ninety days or less.

Restricted Cash: As of May 31, 2012, the Fund did not classify any funds (proceeds) as restricted.

Portfolio Valuation: The net asset value (“NAV”) of the common shares will be computed based upon the value of the securities and other assets and liabilities held by the Fund. The NAV is determined as of the close of regular trading on the NYSE (normally 4:00 p.m. Eastern Time) on each day the NYSE is open for trading. U.S. debt securities and non-U.S. securities will normally be priced using data reflecting the earlier closing of the principal markets for those securities (subject to the fair value policies described below).

Readily marketable portfolio securities listed on any U.S. exchange other than the NASDAQ National Market are valued, except as indicated below, at the last sale price

on the business day as of which such value is being determined, or if no sale price, at the mean of the most recent bid and asked prices on such day. Securities admitted to trade on the NASDAQ National Market are valued at the NASDAQ official closing price as determined by NASDAQ. Securities traded on more than one securities exchange are valued at the last sale price on the business day as of which such value is being determined at the close of the exchange representing the principal market for such securities. U.S. equity securities traded in the over-the-counter market, but excluding securities admitted to trading on the NASDAQ National Market, are valued at the closing bid prices.

Non-U.S. exchange-listed securities will generally be valued using information provided by an independent third party pricing service. The official non-U.S. security price is determined using the last sale price at the official close of the security’s respective non-U.S. market, which is usually different from the close of the NYSE. Occasionally, events affecting the value of such securities may occur between such times and the close of the NYSE that will not always be reflected in the computation of the value of such securities. If events materially affecting the value of such securities occur during such period, these securities will be valued at their fair value according to the procedures adopted by the Fund’s Board of Directors. Although there

are observable inputs assigned on security level, prices are derived from factors using Interactive Data Corporation’s (“IDC”) Fair Value Information Service (“FVIS”) model. For this reason, significant events will cause movements between Level 1 and Level 2 (see detailed description of inputs and levels on the next page). Non-U.S. securities, currencies and other assets denominated in non-U.S. currencies are translated into U.S. Dollars at the exchange rate of such currencies against the U.S. Dollar as provided by a pricing service. When price quotes are not available, fair market value may be based on prices of comparable securities.

Forward currency exchange contracts are valued by calculating the mean between the last bid and asked quotation supplied to a pricing service by certain independent dealers in such contracts. Non-U.S. traded forward currency contracts are valued using the same method as the U.S. traded contracts. Exchange traded options and futures contracts are valued at the closing price in the market where such contracts are principally traded. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund’s Statement of Assets & Liabilities, as applicable. In addition, the Fund could be exposed to risk if the counterparties are unable to meet the terms of the contract or if the value of the currencies changes unfavorably to the U.S. Dollar. In the event that the pricing service cannot or does not provide a

valuation for a particular security, or such valuation is deemed unreliable, especially with unlisted securities or instruments, fair value is determined by the Valuation Committee which shall be composed of at least five voting members designated by the Fund or the Manager, each of whom are officers of the Fund or representatives of the Manager. A quorum of the Valuation Committee will consist of a minimum of three voting members, provided that the members present include at least one of the following: President, Chief Financial Officer/Treasurer, or Head Portfolio Manager of the Fund. In fair valuing the Fund’s investments, consideration is given to several factors, which may include, among others, the following:

Fair Value Measurements: The Fund discloses the classification of its fair value measurements following a three-tier hierarchy based on the inputs used to measure fair value. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability that are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability that are developed based on the best information available.

Various inputs are used in determining the value of the Fund’s investments as of the reporting period end. The designated input levels are not necessarily an indication of the risk or liquidity associated with these investments. When inputs used fall into different levels of the

fair value hierarchy, the level in the hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. These inputs are categorized in the following hierarchy under applicable financial accounting standards:

Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing Management’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

The Fund evaluates transfers into or out of Level 1, Level 2 and Level 3 as of the end of the reporting period. All securities of the Fund were valued using Level 1 or Level 2

inputs during the six months ended May 31, 2012. Additionally there were no Level 3 securities at May 31, 2012. Thus, a reconciliation of assets in which significant unobservable

inputs (Level 3) is not applicable for this Fund.

Foreign Currency Translation: The accounting records of the Fund are maintained in U.S. Dollars. Prices of securities and other assets and liabilities denominated in non-U.S. currencies are translated into U.S. Dollars using the exchange rate at 4:00 p.m., Eastern Time. Amounts related to the purchases and sales of securities, investment income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions.

Net realized gain or loss on foreign currency transactions represents net foreign exchange gains or losses from the closure of forward currency contracts, disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on security transactions and the difference between the amount of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. Dollar equivalent amount actually received or paid. Net unrealized currency gains and losses arising from valuing foreign currency denominated assets and liabilities, other than security investments, at the current exchange rate are reflected as part of unrealized appreciation/ depreciation on translation of assets and liabilities denominated in foreign currencies.

The Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of securities held at period end. The Fund does not isolate the effect of changes in foreign exchange rates from changes in market prices of securities sold during the year. The Fund may invest in foreign securities and foreign currency transactions that may involve risks not associated with domestic investments as a result of the level of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability, among others.

Distributions to Shareholders: The Fund intends to distribute to holders of its common shares quarterly distributions of all or a portion of its net income and/ or realized gains after payment of interest in connection with any leverage used by the Fund. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

Securities Transactions and Investment Income: Investment security transactions are accounted for as of trade date. Dividend income is recorded on the ex-dividend date. Interest income, which includes amortization of premium and accretion of discount, is accrued as earned. Realized gains and losses from securities transactions are determined on the basis of identified

cost for both financial reporting and income tax purposes.

2. Income Taxes

The Fund complies with the requirements under Subchapter M of the Internal Revenue Code applicable to regulated investment companies (“RICs”) and intends to distribute substantially all of its net taxable income and net capital gains, if any, each year. The Fund is not subject to income taxes to the extent such distributions are made.

As of and during the fiscal year ended November 30, 2011, the Fund did not have a liability for any unrecognized tax benefits in the accompanying financial statements. The Income Tax Statement requires management of the Fund to analyze

all open tax years, fiscal years 2005-2011 as defined by IRS statute of limitations for all major jurisdictions, including federal tax authorities and certain state tax authorities. The Fund has no examination in progress and is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Classification of Distributions: Net investment income/loss and net realized gain/loss may differ for financial statements and tax purposes. The character of distributions made during the year from net investment income or net realized gains may differ from its ultimate characterization for federal income tax purposes.

Tax components of distributable earnings are determined in accordance with income tax regulations which may differ from composition of net assets reported under GAAP. Accordingly, for the year ended November 30, 2011, the effects of certain differences were reclassified. The Fund decreased its

accumulated net investment income by $596,560, decreased paid in capital by $191,906, and decreased accumulated net realized loss by $788,466. These differences were primarily due to the differing tax treatment of foreign currency, investments in partnerships and certain other investments. Net assets of the

portfolio were unaffected by the reclassifications and the calculation of net investment income per share in the Financial Highlights excludes these adjustments.

At November 30, 2011, the Fund had available for tax purposes unused capital loss carryover of $62,720,700, expiring November 30, 2017. During the period ended November 30, 2011, the Fund utilized $10,955,840 of capital loss carryover.

As of November 30, 2011, deferred post-October losses were as follows: