The young German, bidding for a fourth consecutive world drivers' title, clocked a quickest lap of one minute 27.211 seconds around Melbourne's Albert Park street circuit, Friday.
Vettel was 0.078secs faster than Massa (1:27.289), with last season's world championship runner-up Alonso (1:27.547) third.
Vettel posted his best lap with about 25 minutes left in the 90-minute practice session.
Britain's Lewis Hamilton, driving this season for Mercedes, was fourth fastest, 0.341secs down on Vettel, with Red Bull teammate, Australia's Mark Webber, fifth quickest.
Last year's Melbourne winner Jenson Button was ninth in his McLaren.
A second practice session is scheduled for later Friday.