Nico Rosberg headed team-mate Lewis Hamilton by 0.505secs after the Briton made a mistake on his best lap.
And the German was a massive 1.834secs quicker than Kimi Raikkonen, third for Ferrari, on the same 'soft' tyres.
Red Bull's Daniel Ricciardo and Daniil Kvyat were fourth and fifth as Ferrari's Sebastian Vettel was 11th on the medium tyre.
In windy and comparatively cool conditions - it was only 21C and overcast when temperatures are more usually in the mid-30Cs at this race - Belgian Stoffel Vandoorne made his debut in Formula 1 as stand-in for the injured Fernando Alonso.
Vandoorne, who had not driven the 2016 McLaren before Friday, flew in overnight from Japan, where he had been testing the car he races in the Super Formula category, and was 18th fastest, 0.952secs slower than team-mate Jenson Button.
However, Vandoorne's best time was set on the medium tyre, which is about a second slower than the soft on which Button was running when he set his fastest lap.
McLaren racing director Eric Boullier said: "He did very well - it is not easy to step in to this high-tech car with a lot of processes to learn. He knows most of them but doing it for real is very different."
The comparison between the two will be watched with intense interest through the weekend as it is effectively a partial audition for the job of Alonso's team-mate at McLaren in 2017.
Button is out of contract at the end of this season ad Vandoorne, McLaren's reserve driver, is the most highly regarded not to have a regular F1 drive.
At the front, Rosberg and Hamilton were only 0.081secs apart after their first runs on the soft tyre - with the German again marginally ahead.
On their second flying laps, Hamilton was quicker in the first sector, but then dropped half a second in the middle sector of the lap.
The gap between the Mercedes and the rest are not likely to be representative - Ferrari were almost certainly on a different programme.
The Italian team have brought two more sets of the medium tyre for each of their drivers than Mercedes for this weekend and appeared to be focusing more on establishing whether that is the correct tyre for the race.
Behind the Red Bulls, Force India's Nico Hulkenberg was sixth fastest ahead of the Toro Rosso pair Carlos Sainz and Max Verstappen, the Haas of Romain Grosjean and Williams' Felipe Massa.
Bahrain GP first practice results
Bahrain GP coverage details

David Nisbet, 28, from Edinburgh, pleaded guilty at the city's sheriff court to committing a breach of the peace and was fined Â£600.
Fiscal Depute Bruce Macrosson said police received calls about a man on the United Free Church of Scotland roof in Bangor Road at about 22:30.
It took firefighters 30 minutes to get him down.
Despite repeated requests to him to come down, the fire service and police were called in. "It took the fire service half an hour to get him down" said Mr Macrosson: "and he was arrested."
Defence solicitor Chris Fehilly told Sheriff Derrick McIntyre that Nisbet had been in court on a domestic matter that day.
"Why was he on the roof?" the sheriff asked.
Mr Fehilly said: "There is no reason. He was very, very drunk. It was a hot day and there is simply no reason why he was up there". Mr Fehilly said his client had apologised for his "stupid, idiotic act".
He added: "He was lucky to enough to get himself up there and get himself down".
Sheriff McIntyre told Nisbet: "This is going to cost you a lot of money", before fining him.

The woman was attacked in the Seagate area, near Dundee bus station, at about 22:30 on Sunday.
Officers have issued a description of man they want to speak to in connection with the incident.
He was in his 20s, about 5ft 10in tall, of slim build, with short, dark, brown hair, a tanned complexion. He may have been Eastern European.
He was wearing a grey hooded top, blue jeans and black trainers.
Mercedes put in an imposing performance in first practice at the Bahrain GP, setting the pace by nearly two seconds.
[NEXT_CONCEPT]
A man who had spent Friday drinking had to be rescued from a church roof by the fire service.
[NEXT_CONCEPT]
Police in Dundee have launched an investigation after a woman was sexually assaulted in the city centre.