The factory Honda and Yamaha squads, plus LCR Honda's Stefan Bradl, are holding a private test at the Texan track in preparation for its first appearance on the MotoGP calendar next month.
Marquez was fastest for most of the day, eventually getting down to a 2m04.619s lap that put him four tenths of a second clear of Honda team-mate Dani Pedrosa.
The Yamahas trailed the Hondas at first, before Jorge Lorenzo managed to put in a 2m05.291s.
Valentino Rossi was 1.3s slower, behind Bradl.
Lorenzo admitted that Yamaha was still trying to get its bike set up correctly for Austin.
"We're getting used to the track but also trying to solve a problem at maximum lean where we don't have full confidence," he said.
"We have to change the setting a bit to make it better."
The test is scheduled to run for three days, but Yamaha could head home after Wednesday if it feels its programme is complete.