The two Mercedes were more than a second clear of the rest of the field, led by Force India`s Nico Hulkenberg.
Red Bull`s Daniel Ricciardo was fourth from Ferrari`s Sebastian Vettel.
The session on the challenging new street track in the Azerbaijani capital Baku ended with a big crash for Hulkenberg`s team-mate Sergio Perez, who hit the wall at Turn 15, just as Ricciardo had on Friday.
Perez, who was sixth fastest, ran wide into the barriers on the exit of the corner in an almost carbon-copy of the Australian`s accident late in first practice on Friday.
Red Bull`s Max Verstappen took seventh, ahead of the McLaren of Jenson Button, separated from team-mate Fernando Alonso by Toro Rosso`s Daniil Kvyat and Ferrari`s Kimi Raikkonen.
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