The Williams driver, the winner of the Spanish Grand Prix earlier this year, posted a best time of 1m40.890s early in the session and that benchmark remained unbeaten until the end.
Red Bull's Sebastian Vettel got closest to the Venezuelan, finishing just 0.083 seconds behind, with team-mate Mark Webber only a hundredth of a second adrift.
Jenson Button seemed to have a much better start to the weekend than in Canada after posting the fourth fastest time in the quickest of the McLarens, team-mate Lewis Hamilton was down in eighth position.
Fernando Alonso completed the top five in the Ferrari in a session in which the top nine drivers were covered by less than three tenths of a second.
Toro Rosso drivers Jean-Eric Vergne and Daniel Ricciardo were the only man to set a time in the first 30 minutes of the session, as the majority of their rivals took it easy after completing their installation laps.
Raikkonen was the first of the frontrunners to complete a timed lap with 55 minutes to go, the Finn posting a 1m42.589s, which was bettered a few moments later by team-mate Grosjean. Raikkonen regained the top spot with a second flyer, however, going into the 1m41s.
With 50 minutes left, it was Rosberg who jumped to first place in the Mercedes, going over half a second quicker than Raikkonen.
Pastor Maldonado in the Williams was first to lap in the 1m40s around the 50-minute mark, with local hero Alonso moving to second as he began to complete timed laps after several installation rounds.
World champion Vettel moved to second place with less than 10 minutes to go, as Venezuelan Maldonado kept the top spot in a trouble-free session.