The Spaniard lapped the circuit with a best time of one minute 21.875 seconds, the fastest of the week so far, which he set on the soft tyre in the morning before most teams focused on race simulations.
Thursday was the double champion's final day in the F138 car this week, after having his first run in it only on Tuesday, with Brazilian Felipe Massa testing on Friday.
Lewis Hamilton's fastest time in qualifying at the circuit in last year's Spanish Grand Prix was 1:21.707 while Alonso, who ended the season runner-up to Red Bull's Sebastian Vettel, clocked 1:22.302.
"We tried various aerodynamic configurations and for the first time, we made some set-up changes to get a good understanding of tyre behaviour and degradation," said Alonso, who will be back in the car for next week's final test in Barcelona.
"With every change we made, the car reacted as I expected...Once again this year, the tyres will be one of the crucial aspects to manage: they are softer and quicker, but also less consistent and they degrade rapidly with every lap.
"We will have a lot of work to do to understand how best to balance the car, but that applies to all the teams."
Germany's Nico Hulkenberg was second on the test timesheets for Sauber, 0.285 slower than Alonso, with Frenchman Romain Grosjean third for Lotus after completing a full race distance on a cloudy afternoon.
McLaren's Jenson Button, whose new Mexican team mate Sergio Perez was fastest on Wednesday, ended the penultimate day seventh quickest.
Adrian Sutil, returning to the cockpit for the first time in more than a year with the hope of securing the Force India race seat, did 78 laps with the eighth best time and ahead of Australian Mark Webber in the Red Bull.
Frenchman Jules Bianchi, his rival for the seat, will be testing on Friday when rain is expected.
The season starts in Melbourne, Australia, on March 17.