The Ferrari driver ended the opening 90-minute session more than 0.3s faster than the Lotus of Romain Grosjean.
Sauber driver Sergio Perez, returning to the scene of his frightening accident last year, was an impressive third fastest ahead of Lewis Hamilton, Spanish Grand Prix winner Pastor Maldonado and Felipe Massa.
There was the customary slow start to the session as teams were cautious of wasting tyres on the 'green' street track, leaving Jean Eric-Vergne and Toro Rosso team-mate Daniel Ricciardo with the track mostly to themselves.
Vergne worked down to a 1m19.066s before some of the bigger names began to hit the track on the 40-minute mark. Those included Michael Schumacher's Mercedes and Romain Grosjean's Lotus.
It was the Frenchman who would leave a lasting impression on the times as he first recorded a 1m17.645s to go quickest for the next 20 minutes until he was outdone by Alonso who lapped in a 1m17.126s - just as his team-mate Massa scraped the barriers at Tabac.
The Ferrari ace's time stood for all of four minutes as the session passed through the hour mark and then Grosjean responded again with a 1m16.751s.
This time it was Hamilton who bumped the Frenchman, putting McLaren top, going four thousandths quicker as the circuit began to get busy.
Once again Grosjean had an answer as he lapped in 1m16.630s only for Alonso to re-emerge from the pits with 15 minutes to go and fire in two super-quick laps, the first a 1m16.4s and the second an impressive 1m16.265s. That would prove enough.
The double world champion had set an even faster first sector (19.8) as the session entered the final 10 minutes when Heikki Kovalainen's Renault engine failed through the tunnel stopping the session, the Caterham grinding to a halt on the exit and extinguishing all visibility from the area. The resultant oil on the track meant the session could not be restarted.
Behind the top six, Kamui Kobayashi was seventh for Sauber, ahead of Jenson Button's McLaren, world champion Sebastian Vettel and Nico Rosberg.
Five-time Monaco winner Schumacher ended up 11th after damaging his front wing when he clattered the kerbs at the Swimming Pool, while 2010 winner Mark Webber was 13th in the second Red Bull.
Kimi Raikkonen completed just a single installation lap before deciding the Monaco-specific steering wasn't to his liking and decided to have it changed, wiping out the rest of his session.