The triple world champion set himself up for qualifying with a fastest lap of one minute 24.360 seconds at Ferrari's home circuit.
Alonso's best was 1:24.643, with the Spaniard splitting the Red Bull drivers on the timesheets. Australian Mark Webber was third for Red Bull.
Lewis Hamilton, who will be chasing his fifth successive pole, was fourth quickest for Mercedes but team mate Nico Rosberg suffered an hydraulics problem and was last after getting in just five laps.
Vettel, who was also fastest in Friday's second practice, has a 46 point lead over Alonso with eight races, including Sunday's remaining.
Force India's Paul Di Resta crashed at Parabolica. The Briton was unhurt.
- Sports & Recreation
- Motor Racing
- Nico Rosberg