The pair delivered a 1-2 as Russell completed a Friday 'double top' ahead of Red Bull's four-time world champion Max Verstappen by eight-tenths of a second.
Russell was fastest in one minute and 43.347 seconds to outpace his Italian partner by 0.552 seconds in a convincing display of speed on the fast and unforgiving barrier-lined streets of the Azeri capital.
Charles Leclerc was fourth ahead of his Ferrari teammate, seven-time world champion Lewis Hamilton, with reigning world champion Lando Norris sixth for McLaren ahead of Alpine's Pierre Gasly and his McLaren teammate Oscar Piastri.
Isack Hadjar was ninth in the second Red Bull, having returned to action after breaking his wrist.
Several drivers survived narrow escapes from brushes with the barriers and walls, but the session was halted only once for a red flag when Racing Bulls' rookie Arvid Lindblad crashed in the narrowest section of the circuit, but was unhurt.
Russell and Verstappen set the early pace before Norris, his car using cable ties to retain the floorboards, went top only for the Dutchman to respond as the drivers settled into a groove of fast laps.
After 15 minutes, Antonelli was still in the pits as his car was being rebuilt following an engine change after he suffered a hydraulics failure during FP1. Hadjar was running with a fresh gearbox after struggling on his return to action.
Verstappen, Leclerc and Russell clocked the fastest lap times as Hamilton upset Lawson when he inadvertently baulked him. "Oh my God, that is so dangerous," he said. The stewards noted.
But Russell emerged quickest, just as he did in the earlier opening practice, to complete a solid day's work for constructors' championship leaders Mercedes.