Repsol Honda rider Marquez and Yamaha Factory Racing's Lorenzo are set for a decisive weekend at the Gran Premio Generali de la Comunitat Valenciana, where one of the two will walk away with the title.
Marquez holds a 13-point lead going into the final race of the season after reigning champion Lorenzo won the last two races to take the battle for the championship to the final day, but Marquez is still favourite to add the MotoGP crown to his Moto2 and 125cc world titles.
The rookie needs just a top-four finish on Sunday to be crowned world champion and he led the way on Friday in one minute 31.220 seconds, just 0.066secs ahead of team-mate Dani Pedrosa and Lorenzo 0.158secs adrift in third after he improved late in the session.
Marquez's effort was not far off Pedrosa's pole record of 1min 30.844secs from last year.
Monster Yamaha Tech 3's Cal Crutchlow ended up fourth overall despite a late crash, from which he escaped unhurt.
The Englishman rides in his last grand prix for the team this weekend before departing for Ducati.
Yamaha Factory Racing's Valentino Rossi is working with crew chief Jeremy Burgess for the last time this weekend and he was fifth fastest on Friday, 0.4secs off the pace.
The top 10 was rounded out by Stefan Bradl (LCR Honda), Alvaro Bautista (GO&FUN Honda Gresini), Bradley Smith (Monster Yamaha Tech 3) and Ducati Team pair Andrea Dovizioso and Nicky Hayden.
Marquez had also set the pace in first practice with a 1min 31.557secs although the two championship contenders were separated by just 0.018secs.
Pedrosa completed a tight top three, finishing just 0.006secs down on Lorenzo.
Marquez believes there is still more to come despite the good performance.
He told MotoGP.com: "We have a new surface but there wasn't much grip.
"We still need to make some improvements as I'm not 100 per cent happy, but we're going in the right way."
He added: "It was good to start the most important week of the season and with a good feeling.
"We still need to improve our setup but we were fastest today - which is the key thing ahead of Sunday's race.
"Tomorrow we will continue in the same way but try to improve and take another step forward because I am sure that the rest of the riders will do so."
Lorenzo echoed Marquez's desire for improvement although he believes the pressure is on his rival.
He said: "This afternoon was very windy so it was very difficult to make the same lap time of the morning but we managed to improve it a little bit.
"We adjusted the bike a little electronically and also the suspension. We are quite close to everyone and ready to keep working tomorrow."
He added: "I feel cool. I don't have any pressure. I don't have anything to lose, second place in the championship is done, so all I can try to do is win the race.
"I'll try to win the championship by waiting for Marc's result. Today we were third, very close to the Hondas but they are very strong."