The Mercedes driver set a blistering pace during a handful of short runs in the morning, the last of which - with a single flying lap on soft tyres - produced a 1m33.283s.
That lap is within one second of Rosberg's own pole time from the 2013 Bahrain Grand Prix.
Jenson Button and McLaren ran as best of the rest, much like on Friday when Lewis Hamilton had been setting the pace for Mercedes.
After a troubled first day of running on Friday, Kimi Raikkonen and Ferrari had a busy morning playing catch-up, with the Finn completing 42 laps and setting the third-fastest time.
New Williams test driver Felipe Nasr - fresh from the announcement of his signing last night - took over duties in the FW36, while race drivers Valtteri Bottas and Felipe Massa watched on from the pits.
Raikkonen aside, the morning running was dominated by Mercedes-powered cars logging laps.
Bahrain F1 test in pictures
Ferrari customers Marussia and Sauber were held back by a systems issue and a chassis problem respectively, with the latter having to perform a chassis change in the garage and not appearing at all during the morning running.
The Renault-powered teams had another tough few hours, with the French firm's four teams logging a total of 39 laps between them.
Lotus's feared delays with Pastor Maldonado only amounted to 90 minutes, but the car only made passing appearances on track after that, and was spotted with lots of tape on joins in the sidepod bodywork.
Daniel Ricciardo completed one run of note in the Red Bull RB10 around midday, getting his lap count up to 13 in the process.
Caterham - one of Renault's most reliable teams this week - only managed four laps with Marcus Ericsson, who is handing over to team-mate Kamui Kobayashi for the afternoon.