The Italian, who won the GP2 title with DAMS this year, posted a time of 1m42.677s that was just 0.002 seconds quicker than Antonio Felix da Costa's best overall time on Wednesday for Red Bull.
McLaren's Kevin Magnussen was second fastest at the Yas Marina Circuit, 0.150s behind Valsecchi. Magnussen was back in the car after topping the timesheets on the opening day.
Magnussen drove the car in the afternoon, while Oliver Turvey was in charge of testing duties in the morning. The Briton was fifth quickest.
Sauber's Esteban Gutierrez finished in third position after completing 80 laps. A place behind him was Red Bull's Robin Frijns, who returned to action following his outing with Sauber on Tuesday.
Luiz Razia returned to the wheel of the Toro Rosso he drove on the opening day to post the sixth quickest time of Thursday's session.
American Alexander Rossi was slowest for Caterham after having to finish his day early due to oil on the garage floor when he returned to the pits after his 14th run.
"That meant I didn't have the chance to do any performance runs and I'm sure if I did, my laptimes would have been close to the race drivers, but issues like that are just one of those things," said Rossi.
"They'll take a proper look at what caused the problem and I'm sure it won't affect the team's preparations for Austin or Brazil."
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