Vettel posted the quickest time of the weekend so far, a 1:07.098 to finish ahead of teammate Kimi Raikkonen, 0.136s slower than the German.
Lewis Hamilton was the quickest Mercedes in third, over two tenths off the pace, as teammate Rosberg’s day came to an early finish when his suspension broke exiting Turn 2.
Rosberg crashed heavily against the wall as a result, and while he was unhurt, Mercedes will face a race against time to get his car ready for qualifying.
Daniel Ricciardo and Max Verstappen completed the top five in the Red Bull cars.
Several cars appeared to suffer blistering problems after Pirelli lowered the rear tyre pressures from 19.5 to 18.5 overnight.