31 May 1910
In 1844 Natal, annexed by Britain on 12 May 1843, became a district of the Cape Colony under a lieutenant-governor. It was proclaimed a British colony on 4 May 1843 after the British government had annexed the Boer Republic of Natalia, and on 31 May 1910 combined with three other colonies to form the Union of South Africa as one of its provinces. Now called KwaZulu-Natal it was originally only about half the size of the present province, with the north-eastern boundaries being formed by the Tugela and Buffalo Rivers beyond which lay the independent kingdom of Zululand. The present province was also enlarged by the addition of Griqualand East to the south. 
References

YFM, Today In History (T.I.H.): May 31, [online], Available at: www.yworld.co.za  [Accessed: 2 May 2014]