Vettel, a four-time world champion, is 13 points clear of Mercedes' triple title victor Lewis Hamilton after the German won in Australia and Bahrain.
Red Bull's Max Verstappen and Daniel Ricciardo were next, looking as if they have closed the gap to the top cars.
Speaking of his hard weekend in Russia, Hamilton said, "It was just a bunch of small things that all added up in one pot".
Lewis Hamilton insists that he always knew that Mercedes teammate Valtteri Bottas would be stiff competition, and he's never underestimated the Finn.
"Coming into this weekend we have a good understanding of where we went wrong on our side of the garage in Sochi", said Hamilton, who has not finished off the podium at consecutive races since 2013. "But I was actually very happy".More news: Liverpool youngster Ben Woodburn keen to build on breakthrough season
Ferrari also have a series of aerodynamic changes on their vehicle, as do Red Bull, who are hopeful their upgrade will clos the one-second gap that has separated them from the front-runners so far this season.
"I'm not happy. Struggling a bit to find the rhythm, with the conditions, probably more myself than the auto", he was quoted as saying by the BBC. I was proud of what we had achieved - I just wish that I could have backed him up, in the sense of getting a 1-2, but we can work on that maybe this weekend.
"The engine feels good".
"Sometimes somebody else was steering my ship but I hope tomorrow whoever that was will disappear".
When asked about the rumours that he could leave Ferrari to join the German manufacturer, which operates out of Brixworth and Brackley in Northamptonshire as well as Stuttgart, Vettel said: "The situation is clear and obviously the main focus is on this year".
The three-time world champion proved again that he has bounced back from the puzzling loss of form that left him struggling to fourth in last month's Russian Grand Prix won by his teammate Valtteri Bottas, who claimed his maiden success in Sochi.More news: Wall hits late 3, forces Game 7
"Generally, tyres feel a bit hard - I don't know why".
"I'm happy with what we brought, some of the stuff you can see, some of the stuff you will not see".
Mercedes rolled out on Friday with a radical slim-line nose on its upgraded auto, while Red Bull appeared to have cut the gap to Ferrari with its own B-spec vehicle in FP2.
But that does not mean much as the teams, all with upgraded packages, begin the European season with Ferrari likely to set the pace if the weather conditions put the onus on tyre management.
Alonso was back at the track for the second session, but had to wait for almost half an hour before he could get out on track while an engine change was completed.More news: Suspect in killing of Arkansas deputy identified