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<?xml version="1.0" encoding="windows-1252"?> |
<ownershipDocument> |
| <schemaVersion> X0204 </schemaVersion> |
| <documentType> 3 </documentType> |
| <periodOfReport> 2011-09-27 </periodOfReport> |
| <noSecuritiesOwned> 0 </noSecuritiesOwned> |
| <issuer> |
| | <issuerCik> 0001513789 </issuerCik> |
| | <issuerName> FIRST TRUST ENERGY INFRASTRUCTURE FUND </issuerName> |
| | <issuerTradingSymbol> FIF </issuerTradingSymbol> |
| | </issuer> |
| <reportingOwner> |
| | <reportingOwnerId> |
| | | <rptOwnerCik> 0001366145 </rptOwnerCik> |
| | | <rptOwnerName> KEITH ROBERT F </rptOwnerName> |
| | | </reportingOwnerId> |
| | <reportingOwnerAddress> |
| | | <rptOwnerStreet1> C/O FIRST TRUST ADVISORS L.P. </rptOwnerStreet1> |
| | | <rptOwnerStreet2> 120 EAST LIBERTY DRIVE, SUITE 400 </rptOwnerStreet2> |
| | | <rptOwnerCity> WHEATON </rptOwnerCity> |
| | | <rptOwnerState> IL </rptOwnerState> |
| | | <rptOwnerZipCode> 60187 </rptOwnerZipCode> |
| | | <rptOwnerStateDescription></rptOwnerStateDescription> |
| | | </reportingOwnerAddress> |
| | <reportingOwnerRelationship> |
| | | <isDirector> 1 </isDirector> |
| | | <isOfficer> 0 </isOfficer> |
| | | <isTenPercentOwner> 0 </isTenPercentOwner> |
| | | <isOther> 0 </isOther> |
| | | <officerTitle></officerTitle> |
| | | <otherText></otherText> |
| | | </reportingOwnerRelationship> |
| | </reportingOwner> |
| <nonDerivativeTable> |
| | <nonDerivativeHolding> |
| | | <securityTitle> |
| <value> Common Shares </value> |
| </securityTitle> |
| | | <postTransactionAmounts> |
| <sharesOwnedFollowingTransaction> |
| <value> 0 </value> |
| </sharesOwnedFollowingTransaction> |
| </postTransactionAmounts> |
| | | <ownershipNature> |
| <directOrIndirectOwnership> |
| <value> D </value> |
| </directOrIndirectOwnership> |
| </ownershipNature> |
| | | </nonDerivativeHolding> |
| | </nonDerivativeTable> |
| <ownerSignature> |
| | <signatureName> /s/ Robert F. Keith, by W. Scott Jardine, attorney-in-fact, pursuant to a Power of Attorney </signatureName> |
| | <signatureDate> 2011-09-27 </signatureDate> |
| | </ownerSignature> |
| </ownershipDocument> |