Rossi is six points ahead of Ducati's Andrea Dovizioso after winning two of the opening three events.
This is the first time that Rossi has lead the championship after three rounds since 2009, the year he won his seventh world title.
"I'm very happy to come back to Europe," said the 36-year-old.
"These first three races have been very positive, although some of these circuits are not my favourites nor of the Yamaha. Yet my YZR-M1 has behaved very well and we rode nice races!
"To go to Jerez, after the victory in Argentina and holding first place in the championship, is certainly very positive. However the most important thing is that we're doing a great job with the guys of the team. We must continue to work well together. The championship is still very long.
"I feel good and returning to Europe is nice. I really like the Jerez GP. The track is beautiful and also the atmosphere is fantastic. It also has very fast turns and I like that a lot. I did good races at this circuit in the past and I'll try to have a good race also this year," he added.
This weekend the Moto GP Championship takes place in Jerez, Spain where Rossi finished second to Marquez by 1.4s last season.