After light rainfall early on, the track started to dry out midway through and times started tumbling towards the end of the morning session.
Alonso clocked 1 minute, 25.252 seconds, making him .203 quicker than Massa, who slowed down when he clipped a kerb late on.
Alonso spoke confidently on Thursday of being able to challenge Formula One leader Sebastian Vettel in terms of pure racing speed for the first time in years, and the first practice will have the Spaniard feeling confident that might be the case in Sunday's race.
However, the cautious first session did not offer much indication as to whether the car upgrades will make a significant difference.
Frenchman Jean-Eric Vergne was third quickest for Toro Rosso, ahead of countryman Romain Grosjean in his Lotus.
Vettel took things easy and finished in 19th place, ahead of teammate Mark Webber, as Red Bull took a cautious attitude to the tricky conditions.
Former champ Jenson Button, who has been struggling so far for a McLaren team desperate for some consistency, chose not to go out on the track. The second practice is later Friday.
Lewis Hamilton, who left McLaren to join Mercedes, threatened to go quicker than the Ferraris, but the British driver was held up by heavy traffic as drivers crammed in late laps and he finished more than a second back in sixth.
There was lots of spray on the track, and Nico Hulkenberg was the only driver to post a timed lap early on as others ran installation laps instead on wet and intermediate tires.
The Circuit de Catalunya had a greasy top and that kept the speed down, although Grosjean was true to his style and drove aggressively. He went into a spin on one turn before getting his car back under control.
Vettel leads the championship by 10 points from Lotus driver Kimi Raikkonen, who was eighth quickest.