Max Verstappen of Red Bull was fourth and Charles Leclerc in the second Ferrari was fifth.
Valtteri Bottas, who leads the championship by one point from title-holder Lewis Hamilton after two races, scorched to a best time of one minute 31.547 seconds.
The Mercedes star is facing multiple challenges this season, primarily from Ferrari, who go into the third race of the season with the fastest car.
Mick Schumacher completed 70 laps and clocked the sixth best time of 1min 29.998 sec.
Four-time champion Sebastian Vettel finished fifth in the second Ferrari, after a late spin had damaged his front wing during a duel with Lewis Hamilton.
Charles Leclerc lapped the Bahrain International Circuit in one minute and 27.866 seconds, beating the mark set by his team-mate and four-time champion Sebastian Vettel last year.
Four-time world champion Sebastian Vettel clocked a best lap in one minute and 28.846 seconds.
Ferrari will be seeking to bounce back after being beaten at the season-opening Australian Grand Prix.
Mick Schumacher will also make his Formula Two debut this weekend in Bahrain after being crowned Formula Three champion.
Valtteri Bottas delivered in spades on Sunday for his fourth Grand Prix win in his 119th race.
Lewis Hamilton clocked a fastest lap of one minute 20.486 to narrowly pip team-mate Valtteri Bottas.
Sebastian Vettel, who has won the Australian Grand Prix for the past two years, could only manage fifth place in the practice session
Sebastian Vettel is a winner and having to settle for second in the drivers and constructors championship last year was tough to take.
Charlie Whiting was in charge of everything rules-related in the highly technical sport.
Lewis Hamilton is gunning to go one better than five-time champion Juan Manuel Fangio and close in on Michael Schumacher's all-time record seven Formula One crowns.
The Formula 2 season begins on March 29 in Bahrain.
Mercedes have swept the last five world championships while Ferrari's last title came in 2007.