What is the coldest naturally occurring place in the universe known?

The Boomerang Nebula, at about one kelvin - colder than the cosmic microwave background, which sits at 2.7 kelvin and is the temperature everything else in the universe falls to. Something is actively refrigerating it.

The mechanism is a gas expanding extremely fast. A dying star is throwing off material at around 160 kilometres a second, and expanding gas cools - the same physics as an aerosol can going cold in your hand, at astronomical scale. It is the only known natural object colder than the background radiation, and it will not stay that way.

Colder places exist and they are all in laboratories. Atoms have been cooled to billionths of a degree above absolute zero using lasers and magnetic traps, producing Bose-Einstein condensates in which thousands of atoms occupy a single quantum state. So the coldest known place in the universe is on Earth, made by people, and the runner-up is a nebula ejecting itself into space at supersonic speed.