Hamilton lapped in 1m 43.476s, Rosberg in 1m 43.609s, whilst their closest challenger, Fernando Alonso, was 1.708s behind for Ferrari, on 1m 45.184s.
Sebastian Vettel and Daniel Ricciardo were right with the Spaniard in their Red Bulls, on 1m 45.334s and 1m 45.361s respectively, before a small gap to Jean-Eric Vergne and Daniil Kvyat in their stablemate Toro Rossos on 1m 45.718s and 1m 45.835s.
Williams had a horrible session; Valtteri Bottas managed 1m 45.913s before losing part of his FW36's engine cover. Thereafter he and Felipe Massa, 13th fastest on 1m 46.549s, were grounded while "fixings" on their cars were repaired. Force India's Sergio Perez and Nico Hulkenberg completed the top 10 with 1m 45.983s and 1m 46.030s apiece.
Kevin Magnussen was McLaren's leader, lapping in 1m 46.049s in an aerodynamically enhanced MP4-29, but team mate Jenson Button had a troubled session with technical issues limiting him to just eight laps. His time of 1m 47.235s left him only 17th.
Kimi Raikkonen was 12th for Ferrari with 1m 46.131s ahead of Massa, as Esteban Gutierrez took his Sauber round in 1m 46.556s to head Lotus's Pastor Maldonado on 1m 46.711s.
Newcomer Esteban Ocon, sitting in for Romain Grosjean in FP1, did a strong job in the second E22 to take 16th on 1m 47.066s, as Kamui Kobayashi's return with Caterham yielded 1m 47.971s for 18th.
At the back, new boys Adderley Fong and Will Stevens made their respective debuts with Sauber and Caterham. The Chinese rookie, who'll make way for Adrian Sutil from FP2 onwards, managed 1m 48.269s, while the British Renault 3.5 race winner managed 1m 50.684s despite suffering technical issues that limited him to 14 laps.