The German, who also set the pace in his Mercedes during Friday's opening two sessions, lapped the 5.8-km Suzuka Circuit in one minute, 32.092 seconds, putting in the fastest time of the weekend on a track still damp from early morning rain.
Red Bull's Daniel Ricciardo, winner of last Sunday's race in Malaysia, was second-fastest on an overcast morning, 0.302 seconds off Rosberg's pace.
Ferrari's Sebastian Vettel, set to drop three places on the grid as punishment for shoving Rosberg into a spin at the start of the Malaysian race, was third.
World champion Lewis Hamilton appeared on course to finish second to his Mercedes team mate for the third session in a row, after lapping only five-hundredths of a second slower than Rosberg on the initial series of circuits.
However, the Briton abandoned his final attempt at a fast lap and wound up only seventh.
Hamilton, who trails Rosberg by 23 points with five rounds remaining after retiring from the lead in Malaysia with a blown engine, will be desperate to record a third straight win at Suzuka to revive his flagging title prospects.
Red Bull's Max Verstappen, Ferrari's Kimi Raikkonen and Felipe Massa's Williams were the other cars to lap faster than Hamilton on Saturday.
Qualifying for the race will take place from 0600 GMT on Saturday.
(Editing by John O'Brien)
