The Spaniard had taken a rain check on the first four-day session in Jerez earlier in February, but he continued to demonstrate he had lost none of his sharpness over the winter by piloting his Ferrari to a best time of 1min 21.875 seconds off a total of 97 laps.
Nico Hulkenberg, in a Sauber, came in second fastest with 1min 22.160 seconds while French Lotus-pilot Romain Grosjean, notched up the third best time of 1min 22.188 seconds off 119 laps.
Alonso, the runner-up to Red Bull's Sebastian Vettel last season, improved his time from Tuesday by a second and was just a coat of paint or two off the week's best time of 1min 21.848 seconds set by Sergio Perez in the McLaren on Wednesday.
"The track was a lot colder than yesterday, especially in the morning. That made it more difficult to find the right level of grip," said Alonso.
"Tyre management will be crucial this season; they are softer and faster, but they also degrade a lot faster."
Germany's Adrian Sutil, competing with Frenchman Jules Bianchi for the only drive left this season -- with Force India - was eighth fastest.
Sutil, out of the sport for 15 months, improved by a second the best Force India time of the week so far set by Paul di Resta.
"This team knows me well because I spent six years with them," said Sutil.
"I wanted to show them that I am still quick and that was very important. I can sleep peacefully. I have done all I can to get back into F1. I don't know who is the favourite for the drive, it's up to Force India to decide."
The new season opens in Melbourne, Australia on March 17.