Rosberg, who was also fastest on Friday, produced a best lap of one minute 21.083 seconds.
Australian Daniel Ricciardo was third on the timesheets for Red Bull with Ferrari's Sebastian Vettel fourth on a sunny morning.
The top four drivers were separated by just two tenths of a second.
Germans Vettel and Rosberg are in a fight for second place in a championship already won by Hamilton who took his 10th victory of the season in Texas last weekend and is equally determined to win the first race in Mexico since 1992.
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Vettel is four points clear of Rosberg with three races remaining. Both have won three times this year.
Mercedes have also secured the constructors' title for the second year running but Sunday's race, with more than 100,000 spectators expected, is still important further down the standings as teams chase precious championship points.
Force India's Sergio 'Checo' Perez, the only Mexican in the race, was sixth fastest to the delight of another big crowd at the revamped circuit named after the late Rodriguez brothers who raced in Formula One.
He slowed down and waved to the crowd as he went through the stadium section at the end of the session.
McLaren's Jenson Button, who faces a 50 place grid penalty due to power unit changes and will start at the back of the grid, recorded the slowest time after doing only a handful of laps due to ongoing problems.
His Spanish team mate Fernando Alonso has a 10 place penalty.
Vettel's team mate Kimi Raikkonen pulled over early in the session with smoke coming from the back of the car.
"I have some issue with the engine, vibration at the end of the main straight and I have no power," said the Finn.
(Editing by Tony Jimenez)
