Russell put his Mercedes on top as he was only one of five drivers to use the soft tyres, with the rest of the grid trialling next year's Pirelli compound.
The Briton finished ahead of Yuki Tsunoda and Esteban Ocon, with Lewis Hamilton, who did not use the speediest rubber, fourth.
Russell finished eight tenths faster than Ferrari's Carlos Sainz, who posted the quickest lap in the opening running of the weekend at the Autodromo Hermanos Rodriguez in Mexico City.
Earlier in the day, Sainz led Leclerc in a Ferrari one-two, but the day turned sour for the Italian team when Leclerc spun out of the second session.
Leclerc lost control of his Ferrari under braking for the left-hander Turn 7, sliding backwards through the run-off area and into the tyre barrier.
The Monegasque was unharmed in the accident, but his Ferrari team face a major overnight repair job to ensure his car is ready for practice on Saturday lunchtime, with qualifying to follow shortly after.
"I am OK, not the car though," said Leclerc over the radio. The action was suspended as Leclerc's wounded Ferrari was removed from danger and he despondently headed back to the garage.
Earlier in the day, Hamilton finished just 0.142 seconds off Sainz's pace.
Seven-time world champion Hamilton, who earlier this week wrote off his chances of winning a race this season, finished fifth.
Home favourite Sergio Perez was third, one spot ahead of his team-mate and two-time world champion Max Verstappen. The Red Bull duo recorded exactly the same time.
Hamilton revealed for the first time on Thursday that he is ready to extend his Formula One career beyond his 40th birthday.
The Mercedes driver, who turns 38 in January, said he will thrash out a new multi-year extension with the team once this season concludes.
But Hamilton heads into Sunday's round facing a race against time to ensure his record of winning at least one race in each year he has competed remains intact.
And the British driver finished behind both Ferraris and Red Bulls to suggest he faces another tall order to challenge for top spot.
Verstappen has already sewn up his second title but he will take the record of most victories in a single campaign if he triumphs on Sunday.
The home crowd, however, will be desperate to see the other Red Bull triumph with 350,000 spectators anticipated in Mexico's capital over the three days to cheer on their man Perez at the 20th round of 22.