Which I took this photo with my iPhone. o I took this photo on my iPhone. Qual è più naturale?

"with" can mean either 〜と一緒に or 〜を使って
Ex.
I went to the movies with my friends. (友達と一緒に映画を見に行った。)
He always writes with a pen. (彼はいつもペンを使って書く。)
Since you are using your iPhone to take a picture, I would use "with"

On is a bit difficult to explain. In it's most basic sense, it means something like 〜の上に (ex. we say we write on a paper). We also say that we "do things on a computer/phone/tablet"; my guess is because what we do is reflected on a screen, so it's like we are doing things on the screen and therefore on the electronic device（「do things on a computer/phone/tablet」を言われることです。することがスクリーンで見えるので、「on」を使われるかもしれないと思いますけど。). If I think of a better explanation I'll let you know.

Hope this helps!