A good design rule when writing code is do not write any code that has already been written. For example the dir function already does most of what your code is doing:
S = dir('*.mat'); % returns only MAT files.
As an aside, a more suitable option for sorting filenames is natsortfiles:
As Jan Simon has already pointed out, you need to allocate the output of natsort (or natsortfiles) to an appropriate variable, otherwise its sorted cell array output is simply discarded and not used.
