'In' indicates 'inclusions within space or limits'. 'With' means 'accompanies by'.'For' means 'with the object or purpose of'.
'At' indicates 'a point or place occupied in space'.
Keeping the meanings of these words in mind, 'in' and 'with are most appropriate. One lives 'in harmony with nature': one lives happily accompanied by nature.
Hence option C is correct.
Option A is incorrect because the sentence does not express purpose 'for harmony'.
Option B is incorrect because 'nature' is not a place 'at nature'.
Option D is also incorrect because 'harmony' is not a place or point in space 'at harmony'.