The German lapped the Sochi circuit with a best time of one minute 34.488 seconds, with Red Bull's Max Verstappen a mere 0.050 slower and championship leader Lewis Hamilton third for Mercedes.
Hamilton, 0.330 off the pace but on the slower soft tyre rather than the hypersoft used by Vettel and Verstappen, leads his fellow four-times world champion by 40 points with six races remaining.
Vettel is running out of time to rein in Hamilton, who has seven victories to his credit this season including four of the last five.
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Verstappen turns 21 on Sunday but his chances of becoming the first 20-year-old to take a pole position became non-existent when he was one of five drivers listed with confirmed engine penalties.
The Dutch driver would normally have to start from the back of the grid but where exactly he will line up remained uncertain due to the number of similar penalties handed out.
Verstappen's Australian team mate Daniel Ricciardo, Toro Rosso's Pierre Gasly and Brendon Hartley as well as McLaren's Fernando Alonso were also hit with grid drops to the back of the field.
Vettel took pole in Sochi last year but victory went to Hamilton's team mate Valtteri Bottas with Mercedes still unbeaten in Russia since the race's debut in 2014.
Ricciardo was fifth fastest, behind Bottas, but sat out much of the session with mechanics working on his car on an otherwise uneventful morning.
Italian reserve Antonio Giovinazzi, who will step up to the Sauber race seat next season, took Marcus Ericsson's car for the opening practice while British teenager Lando Norris gained experience ahead of his McLaren debut next year.
Giovinazzi was 10th fastest, with 18-year-old Norris -- who went off but avoided the barriers -- 13th.
McLaren regular Stoffel Vandoorne, who is ceding his place to the Briton at the end of the year, was 16th.
Renault gave Russian F2 driver Artem Markelov (15th) a run in Carlos Sainz's car while Canadian Nicholas Latifi (17th) was in Sergio Perez's Force India.
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