The world champion clocked his quickest lap on Pirelli’s red-marked supersoft tyres, while Rosberg’s best was set on the purple ultrasoft compound.
Max Verstappen was the leading Red Bull runner in fourth, followed by the second Ferrari of Kimi Raikkonen and the Williams of Valtteri Bottas.
Force India’s Nico Hulkenberg took seventh spot, with Toro Rosso’s Carlos Sainz, Sergio Perez in the second Force India, and McLaren’s Fernando Alonso completing the top ten.
It was an early bath for Felipe Massa, who crashed out just 25 minutes in after losing the back end of his Williams under braking into Turn 1 - which the team later said stemmed from an issue with the Brazilian's DRS. Massa was unhurt, but there was heavy damage to the rear of his Mercedes-powered machine.
At that point it was Raikkonen who was on top, ahead of Verstappen and Vettel, but after a 12-minute red-flag period Rosberg sprang ahead, as a lap on the ultrasofts carried him to 1m 15.746s.
The Silver Arrows pair trimmed their respective laps subsequently, with Hamilton staying ahead despite Rosberg using ostensibly the faster tyre compound.
Numerous drivers ran off-track at various points during the session, with the final chicane proving particularly tricky. Hamilton, Vettel, Verstappen, Daniel Ricciardo - who wound up 11th - Alonso, Bottas, Romain Grosjean, Marcus Ericsson and Esteban Gutierrez were among those caught out.
McLaren, meanwhile, had problems of a different nature, as Jenson Button was sidelined for much of the session, managing only eight laps in total - the final one of which was spent crawling back to the pits with a suspected temperature problem. It remains to be seen whether the 2009 world champion’s car will need remedial work.
And Verstappen could face trouble of a different kind, after being called to the stewards post-session for allegedly impeding Bottas.
WATCH: Massa backs it into the Turn 1 barriers
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