It took several attempts for championship leader Marquez to overcome the advantage Lorenzo held in the middle of the session.
But eventually he managed to outshine the Yamaha's 2m04.035s benchmark with a 2m03.816s lap on his Honda.
Local hero Cal Crutchlow made an encouraging start to the weekend as he took third, just 0.009 seconds down on Lorenzo's pace.
Opinion: could Marquez be bad for MotoGP?
Two Hondas completed the top five, Marquez's team-mate Dani Pedrosa followed by Gresini's Alvaro Bautista.
Valentino Rossi was only sixth, 0.866s off the pace.
Nicky Hayden was the fastest Ducati in eighth place, one spot ahead of Briton Bradley Smith on the second Tech 3 entry.
Aleix Espargaro again led the CRT runners for Aspar, sitting in the top 10 for a long while before being pushed back to 11th.
Follow the MotoGP weekend as it happens on Race Centre Live