McLaren's Jenson Button went second quickest 1.5 seconds behind Rosberg, while Ferrari's Kimi Raikkonen was third as he ended his day five minutes early following a late crash that ripped the front nose off his car.
Brazil's Felipe Nasr, who was announced as a test and reserve driver for Williams, went fourth quickest on the day producing 87 laps.
"It's been a good day," Rosberg told the BBC.
"We were doing lower-fuel stuff in the morning, really getting into the equally rhythm and finding a balance for that.
"I felt comfortable in the car - it's important for me to feel at home, that everything is to my liking. I was really able to push it, which was cool, a good feeling.
"And then in the afternoon (I was) doing a race sim, which we managed to complete, which is a big step for us, but afterwards the car broke so still some way to go to sort out our reliability."
Red Bull, winners of the last four drivers' and constructors' titles with Sebastian Vettel, suffered another problematic day as their pre-season campaign continued to flounder.
Australian Daniel Ricciardo, who was pulled from the track early on Friday after managing 28 laps, completed only 15 on Saturday due to a power-unit problem with the Renault-powered
RB10.
In total Red Bull have registered only 137 laps in pre-season, compared to 624 by Mercedes, 541 by McLaren and 538 by Ferrari.
"In all honesty it wasn't a great day today," said Ricciardo.
"I guess we still need more time. We have four more days coming up and hopefully we can maximise those.
"I have to say that on the run we did today the car did feel better. But unfortunately another problem arose and we couldn't exploit that potential."
Overall, Mercedes registered the top two times of the second pre-season test followed by the McLaren's of Button and Kevin Magnussen.
Teams will remain in Bahrain for the third and final pre-season test which begins on Thursday and runs for four days.
(Reporting By Josh Reich; Editing by Mark Pangallo)
