Five days after Russell took Mercedes' opening win of the season in Interlagos, the Silver Arrows were back on top in the first running at the final round of the year.
Hamilton finished 0.220 seconds clear of Russell, with Ferrari's Charles Leclerc third and the Red Bull of Sergio Perez fourth.
The make-up of Friday's order consisted of a number of unusual names, with eight young drivers fielded at the Yas Marina Circuit.
Of the young guns, New Zealander Liam Lawson, who filled double world champion Max Verstappen's Red Bull cockpit, finished highest.
The 20-year-old was fifth, half-a-second adrift of Hamilton, and one spot ahead of Sebastian Vettel.
Vettel, the four-time world champion, is taking part in his 299th and final grand prix this weekend ahead of his retirement from the sport.
Mercedes landed their opening victory of a turbulent campaign in Brazil, and they will be hoping another follows in quick succession, with Hamilton hoping to salvage his unique record of winning in every season of his career.
And although the first times of the weekend have to be treated with caution - given the host of big names watching from the sidelines, and both qualifying and the race to take place in cooler dusk conditions - Hamilton and his Mercedes team will take confidence from their early pace.
Elsewhere, Daniel Ricciardo, in his final race for McLaren after being dropped by the British team, finished eighth, almost one second back.
Second practice, which will see the return of the grid's more established drivers including Verstappen, gets under way at 5pm local time (1pm UK time).