Ferrari's Fernando Alonso is second, followed by Romain Grosjean in a Lotus.
Formula One: Familiarity at 'home' helps Nico Rosberg be quickest in first Monaco GP practice
Mercedes-GP's German-born driver has lived in the Principality almost his entire life and attended school in a building directly above the makeshift Formula One paddock.
On Thursday, on the opening day of this extended grand prix weekend, Rosberg, 27, finished fastest in both practice sessions to ensure he could sleep easy in his own bed and enjoy Friday's traditional rest day.
He led his teammate - and neighbour - Lewis Hamilton by 0.318s.
There is little doubting who is the team to catch in qualifying on Saturday.
Mercedes have taken pole position at the past three grands prix this season and Rosberg's old teammate, Michael Schumacher, proved the fastest in his Silver Arrow here last year before being dropped to sixth on the grid following a penalty.
"It feels great to be back here driving around the streets of my home city again," said Rosberg, who completed 78 laps.
"It seems we're quick again on one lap and we know we're more or less in the hunt for a good result in qualifying - somewhere towards the front - but we have to wait and see."
Rosberg's enthusiasm is tempered by the fact Mercedes have failed to convert any of their poles into wins this year because of continual struggles with excessive tyre wear.
In Spain two weeks ago, Rosberg and Hamilton locked-out the front row, yet finished the race in sixth and 12th, respectively.
"We have been working hard again to make improvements to our race pace," Rosberg said. "It will be interesting to see where we are compared to the others over the weekend, as [practice] is not really representative.
"We really don't know what other teams are doing, what they are running.
"The other thing is long-run pace: it's better, but there are still some issues there. There are a couple of question marks."
Hamilton moved to Monaco last March, after growing bored of life in Switzerland, and is fully embracing his new, glamorous residence.
He will compete this weekend while wearing a helmetpainted with a depiction of him, his pop-star girlfriend and his new pet dog rolling through the city's fabled streets.
And, like Rosberg, he is clearly benefiting from home comforts.
"It's been a positive start for us and I'm pleased with what we have achieved here in Monaco," he said.
"I just have to improve my one-lap pace - there's a bit from me and a bit from the car. The car is almost there and the pace looks good."