UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-02396

T. Rowe Price New Income Fund, Inc.

(Exact name of registrant as specified in charter)

100 East Pratt Street, Baltimore, MD 21202

(Address of principal executive offices)

David Oestreicher

100 East Pratt Street, Baltimore, MD 21202

(Name and address of agent for service)

Registrant’s telephone number, including area code: (410) 345-2000

Date of fiscal year end: May 31

Date of reporting period: May 31, 2024

Item 1. Reports to Shareholders

(a) Report pursuant to Rule 30e-1

Annual Shareholder Report

May 31, 2024

New Income Fund

Z Class (TRVZX)

This annual shareholder report contains important information about New Income Fund (the "fund") for the period of June 1, 2023 to May 31, 2024. You can find the fund’s prospectus, financial information on Form N-CSR (which includes required tax information for dividends), holdings, proxy voting information, and other information atwww.troweprice.com/prospectus. You can also request this information without charge by contacting T. Rowe Price at 1-800-638-5660 or info@troweprice.com or contacting your intermediary.

What were the fund costs for the last year? (based on a hypothetical $10,000 investment)

	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
New Income Fund - Z Class	$0	0.00%

What drove fund performance during the past 12 months?

The U.S. investment-grade (IG) fixed income market generated positive results for the 12-month reporting period. Although U.S. Treasury yields generally moved higher, bond investors benefited from higher coupon payments as well as tighter credit spreads amid a resilient economy.
The fund’s underweight to Treasuries combined with allocations to high yield bonds and loans, Treasury inflation protected securities, and securitized credit contributed to relative performance versus the Bloomberg U.S. Aggregate Bond Index. Security selection within the IG corporate sector was also beneficial.
Tactical positioning adjustments on the yield curve detracted from performance versus the benchmark as competing concerns about growth and inflation led to elevated interest rate volatility. Security selection in the agency mortgage-backed securities sector also hurt performance as the fund’s positions in to-be-announced instruments generally underperformed cash bonds that offered more stable cash flows.
The fund seeks to maximize total return through income and capital appreciation by investing in a broadly diversified portfolio of mostly investment-grade debt instruments. After shifting to an underweight position earlier in the period, we moved back to an overweight in IG corporates as recession fears eased, and the sector represented our largest position in absolute and relative terms at period-end.
The fund held material exposure to derivatives, which had an overall negative effect on absolute returns. Specifically, the fund’s positions in interest rate derivatives, which are primarily used to manage exposure to certain parts of the yield curve, weighed on absolute performance.

How has the fund performed?

Cumulative Returns of a Hypothetical $10,000 Investment as of May 31, 2024

A line chart as described in the following paragraph.

	Z Class	Regulatory/Strategy Benchmark
3/16/20	10,000	10,000
5/31/20	10,160	10,215
8/31/20	10,487	10,349
11/30/20	10,609	10,398
2/28/21	10,509	10,188
5/31/21	10,522	10,173
8/31/21	10,727	10,340
11/30/21	10,690	10,278
2/28/22	10,329	9,919
5/31/22	9,671	9,337
8/31/22	9,457	9,149
11/30/22	9,224	8,958
2/28/23	9,267	8,954
5/31/23	9,399	9,137
8/31/23	9,269	9,040
11/30/23	9,294	9,064
2/29/24	9,493	9,252
5/31/24	9,522	9,256

202405-3565004, 202407-3685382

F1264-052 7/24

Average Annual Total Returns

	1 Year	Since Inception 3/16/2020
New Income Fund (Z Class)	1.30%	- 1.16%
Bloomberg U.S. Aggregate Bond Index (Regulatory/Strategy Benchmark)	1.31	- 1.82

The preceding line graph shows the value of a hypothetical $10,000 investment in the fund over the past 10 fiscal year periods or since inception (for funds lacking 10-year records). The fund’s performance information included in the line graph and table above is compared with a regulatory required index that represents an overall securities market (Regulatory Benchmark). In addition, the line graph and table may also include one or more indexes that more closely aligns to the fund's investment strategy (Strategy Benchmark(s)). Due to new SEC Rules on shareholder reporting the fund adopted a new broad-based securities market index, referred to as the Regulatory Benchmark. Market index returns do not include expenses, which are deducted from fund returns. The fund's total return figures reflect the reinvestment of dividends and capital gains, if any. Neither the fund’s returns nor the index returns reflect the deduction of taxes that a shareholder would pay on fund distributions or redemptions of fund shares. The fund’s past performance is not a good predictor of the fund’s future performance. Updated performance information can be found at www.troweprice.com.

What are some fund statistics?

Fund Statistics

Total Net Assets (000s)	$16,586,966
Number of Portfolio Holdings	1,554

Investment Advisory Fees Paid (000s)	$8,917
Portfolio Turnover Rate	179.3%

What did the fund invest in?

Credit Quality Allocation* (as a % of Net Assets)

AAA Rated	6.0%
AA Rated	3.6
A Rated	9.6
BBB Rated	17.3
BB Rated and Below	2.6
Not Rated	0.7
U.S. Government Agency Securities	28.5
U.S. Treasury Securities	30.7
Reserves	1.0

*Credit ratings for the securities held in the Fund are provided by Moody’s, Standard & Poor’s, and Fitch and are converted to the Standard & Poor’s nomenclature. A rating of AAA represents the highest-rated securities, and a rating of D represents the lowest rated securities. If the ratings agencies differ, the highest rating is applied to the security. If a rating is not available, the security is classified as Not Rated. The rating of the underlying investment vehicle is used to determine the creditworthiness of credit default swaps and sovereign securities. The Fund is not rated by any agency.

Top Ten Holdings (as a % of Net Assets)

U.S. Treasury Notes	18.3%
Federal National Mortgage Assn.	14.8
U.S. Treasury Bonds	8.4
Government National Mortgage Assn.	6.9
Federal Home Loan Mortgage	5.8
U.S. Treasury Inflation-Indexed Notes	4.0
UMBS	1.0
Bank of America	0.7
UnitedHealth Group	0.6
JPMorgan Chase	0.6

If you invest directly with T. Rowe Price, you can elect to receive future shareholder reports or other important documents through electronic delivery by enrolling at www.troweprice.com/paperless. If you invest through a financial intermediary such as an investment advisor, a bank, retirement plan sponsor or a brokerage firm, please contact that organization and ask if it can provide electronic delivery.

Bloomberg does not accept any liability for any errors or omissions in the indexes or data, and hereby expressly disclaim all warranties of originality, accuracy, completeness, timeliness, merchantability and fitness for a particular purpose. No party may rely on any indexes or data contained in this communication. Visit www.troweprice.com/en/us/market-data-disclosures for additional legal notices & disclaimers.

New Income Fund

Z Class (TRVZX)

T. Rowe Price Investment Services, Inc.

100 East Pratt Street

Baltimore, MD 21202

Annual Shareholder Report

May 31, 2024

New Income Fund

R Class (RRNIX)

What were the fund costs for the last year? (based on a hypothetical $10,000 investment)

	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
New Income Fund - R Class	$108	1.08%

What drove fund performance during the past 12 months?

The U.S. investment-grade (IG) fixed income market generated positive results for the 12-month reporting period. Although U.S. Treasury yields generally moved higher, bond investors benefited from higher coupon payments as well as tighter credit spreads amid a resilient economy.
The fund’s underweight to Treasuries combined with allocations to high yield bonds and loans, Treasury inflation protected securities, and securitized credit contributed to relative performance versus the Bloomberg U.S. Aggregate Bond Index. Security selection within the IG corporate sector was also beneficial.
Tactical positioning adjustments on the yield curve detracted from performance versus the benchmark as competing concerns about growth and inflation led to elevated interest rate volatility. Security selection in the agency mortgage-backed securities sector also hurt performance as the fund’s positions in to-be-announced instruments generally underperformed cash bonds that offered more stable cash flows.
The fund seeks to maximize total return through income and capital appreciation by investing in a broadly diversified portfolio of mostly investment-grade debt instruments. After shifting to an underweight position earlier in the period, we moved back to an overweight in IG corporates as recession fears eased, and the sector represented our largest position in absolute and relative terms at period-end.
The fund held material exposure to derivatives, which had an overall negative effect on absolute returns. Specifically, the fund’s positions in interest rate derivatives, which are primarily used to manage exposure to certain parts of the yield curve, weighed on absolute performance.

How has the fund performed?