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
Mercedes put in an imposing performance in first practice at the Bahrain GP, setting the pace by nearly two seconds.