Alonso, fastest in both of Friday's sessions, was again dominant with a best lap of one minute 12.150 seconds on another hot day at the Brickyard ahead of German teenager Sebastian Vettel in a BMW Sauber and McLaren team mate Lewis Hamilton.
Test and reserve driver Vettel, 19, will make his Formula One race debut on Sunday in place of Poland's Robert Kubica who crashed heavily in Canada last weekend and failed a medical at Indianapolis.
The teenager made a strong impression, leading the timesheets late in the session before being bumped by the Spaniard in the closing seconds.
Hamilton, who won from the pole to claim his first Formula One success last weekend at the Canadian Grand Prix and go eight points clear of Alonso in the championship lead, was followed by Finland's Heikki Kovalainen in a Renault.
Germany's Nick Heidfeld was fifth fastest for BMW Sauber, followed by the two Ferraris of Finland's Kimi Raikkonen and Brazilian Felipe Massa.
