The championship leader posted a best time of one minute 16.014 seconds, eight hundredths ahead of McLaren's Lewis Hamilton.
However, Hamilton's team-mate Jenson Button finished the session dead las, nearly five seconds off the pace, after failing to record a respectable time in any of his 25 laps.
Alonso received a further boost with the news that his closest championship challenger, Mark Webber, had received a five-place grid penalty for changing his gearbox.
The rain that blighted Friday's action stayed away for much of the hour, before returning with a vengeance in the final few minutes.
Marussia's Charles Pic missed most of the session after his engine was changed.
However, the team issued some better news when it confirmed test driver Maria De Villota has left hospital in the UK and returned to Spain following the testing crash that cost her the sight in one eye.