The German, who finished runner-up to team-mate Lewis Hamilton in Sunday's race, posted a best time of 1m35.667s to finish on the top of the times.
Rosberg was also the busiest man on track with 121 laps completed.
The Mercedes driver's best lap was over 2.5 seconds slower than his pole position time for last weekend's race. He was also the only man to break the 1m36s barrier.
Nico Hulkenberg put the Mercedes-powered Force India in second place, finishing nearly four tenths of a second behind his compatriot.
Fernando Alonso was third quickest and the first man in a non-Mercedes-powered car. The Ferrari driver managed 67 laps on his first day of work and finished nearly a second off Rosberg's pace.
McLaren's Kevin Magnussen finished fourth and was the only other driver to complete over 100 laps during the day.
Valtteri Bottas rounded up the top five for Williams. The Finn covered only 28 laps, but the team said it had completed its programme successfully.
"The results were very positive and we collected a lot of good data, which is good news. Valtteri also did a good job for us today," said head of vehicle performance Rob Smedley.
Bahrain F1 test gallery
World champion Red Bull finished down in seventh position with Daniel Ricciardo at the wheel, the Australian managing 91 laps and finishing behind the Marussia of Max Chilton.
Sauber's Sergey Sirotkin was the quickest of the non-race drivers in eighth, outpacing fellow tester Robin Frijns in the Caterham, which today was the team in charge of carrying out testing duties for Pirelli.
Frijns' day, however, came to an early finish after he was hit by a hydraulic system leak that the team could not fix in time to return to the track.
"There's not much I can say about the tyres we were running today as they're obviously development sets and because it was a Pirelli test today we weren't aware of what compounds we were running," said Frijns.
Lotus had another difficult day of testing, with Pastor Maldonado managing just 16 laps due to power unit-related issues.
"Of course, this is frustrating for everyone involved, but our focus is now very much on getting the most we can out of tomorrow," said Lotus's trackside operations director Alan Permane.
Toro Rosso's Daniil Kvyat was slowest but still labelled it a productive day for the team.
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