Hamilton was 0.141 seconds ahead of Rosberg, the pair well clear of Ferrari’s Kimi Raikkonen in third.
Kimi was 0.202secs ahead of Daniil Kvyat and Ferrari team-mate Sebastian Vettel fifth.
The six best times behind the Mercedes cars were separated by only four tenths of a second.
Force India drivers Nico Hulkenberg and Sergio Perez were sixth and eighth, with Red Bull driver Daniel Ricciardo in seventh. Lotus driver Pastor Maldonado and Williams driver Felipe Massa rounded out the top 10.
Raikkonen was come-back to the nearest rival of dominant Mercedes, despite a short loss of power halfway through the session, following the trouble his MGU-K.
Red Bull have still not officially confirmed their engine supplier for next season, but team boss Christian Horner has said that a deal has been agreed.