The seven-time world champion lapped the 5.4km floodlit Sakhir desert track in a best time of one minute 30.374 seconds with Russell 0.206 seconds adrift and Aston Martin’s double world champion Fernando Alonso in third.
Reigning triple world champion Max Verstappen was only sixth in his Red Bull.
The Dutch driver, who has led the Formula One standings for a record 39 races going back to May 2022, had headed into the weekend favourite to open his pursuit of a fourth consecutive title with victory on Saturday.
He closed the day 0.477 seconds off the pace, having also ended first practice in sixth.
Carlos Sainz was fourth for Ferrari ahead of Australian Oscar Piastri in his McLaren.
Nico Hulkenberg put Haas in seventh ahead of Aston Martin’s Lance Stroll.
Charles Leclerc was ninth in the other Ferrari while Verstappen’s team mate Sergio Perez rounded out the top 10.
Mercedes, who endured their first winless campaign since 2011 last year, have redesigned their car for the 2024 season to make it less 'spiteful'.
Their practice showing will offer Russell and Hamilton, who last won a race in 2021 and is replacing Sainz at Ferrari next year, encouragement of a return to the top step of the podium.
Daniel Ricciardo ended the day 12th for rebranded Red Bull sister team RB. The Australian had gone fastest in the opening session of practice, run in unrepresentative conditions.
The race in Bahrain and the following round at Jeddah in Saudi Arabia a week later are being held on a Saturday to allow the Middle Eastern kingdoms to host races before the start of Ramadan.
Qualifying will be held on Friday.
