The double world champion, last year’s winner in Baku, lapped the fast street circuit with a best time of 1:42.315s with his final effort on the soft tyres.
Ferrari’s Charles Leclerc, who has never won in Baku but will be chasing his third successive pole in Azerbaijan in later qualifying for Sunday’s grand prix, was second on the timesheets.
The Monegasque ended up 0.037s slower, after going top in the dying seconds, with Red Bull’s Sergio Perez third and Ferrari’s Carlos Sainz fourth.
Perez has the best record of any driver on the starting grid in Baku with a victory in 2021, second last year and two third places.
The hour-long session was halted after 15 minutes when Pierre Gasly’s Alpine caught fire with the Frenchman pulling over as smoke billowed from the airbox and marshals extinguished the flames.
Alpine blamed a loss of hydraulic pressure and ended the session for Gasly’s teammate Esteban Ocon as they carried out checks on the rear of his car.
Ferrari’s Carlos Sainz had already hit the wall at turn five, without serious damage, while AlphaTauri’s Yuki Tsunoda limped back to the pits on three wheels and a rim after an early puncture when he also hit the wall and spun.
The car’s rear wing and diffuser looked badly damaged.
Haas’s Kevin Magnussen had also stopped on track when the red flags came out.
“It looks like we lost fuel pressure on the straight,” team boss Guenther Steiner told Sky Sports television. “It stopped the engine and everything.”
The session resumed after a 13 minute break.
McLaren’s Lando Norris was fifth fastest in an upgraded car, ahead of AlphaTauri’s Nyck de Vries and the Aston Martins of Lance Stroll and Fernando Alonso – the latter chasing his fourth successive podium finish this weekend.
Seven times world champion Lewis Hamilton was 11th fastest for Mercedes, with the Briton complaining about his car’s brakes and the lack of grip, while teammate George Russell was only 17th but neither did low fuel runs.
Today’s practice was the sole such session of the weekend with Saturday now featuring a qualifying ‘shootout’ for the following sprint race, which is now a standalone event rather than determining Sunday’s grid.