Remnants of a diesel spillage on track at Turns 8 and 9, which delayed Formula 1 free practice by 30 minutes as it was cleaned up, were still apparent at the start of GP2 practice as drivers struggled with the slippery surface.
This didn't faze Vandoorne, though. ART's Belgian set the initial pace on his opening run and continued to improve.
He finished the session as the only driver to make it into the 1m45s, 0.699 seconds clear of Campos driver Pic.
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Pic's team-mate Rio Haryanto, who hasn't scored a point since Hungary in late July, had a clean session to finish third.
Monza sprint race winner Mitch Evans ran consistently in the top five and edged out Williams F1 development driver Alex Lynn in fourth. Lynn's DAMS team-mate Gasly was a close sixth.
Sergey Sirotkin endured a mistake-ridden session at home. The Russian had several off-track excursions but was able to pull it together late on to finish practice in seventh.
Fresh off the back of two F1 races with Manor, Alexander Rossi also struggled with the slippery track conditions.
The American finished eighth but, like Sirotkin, he ran wide a number of times before spinning halfway through the session.
Ferrari junior Raffaele Marciello and Honda protege Nobuharu Matsushita rounded out the top 10.
Last year's GP3 runner-up Dean Stoneman finished 19th on his GP2 debut with Carlin, well clear of his team-mate Sean Gelael, who was 24th.
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