Lewis Hamilton, who could close out his sixth world championship here, was quickest in the opening running, but had to settle for only fifth later in the day.
The Mercedes driver finished the best part of a second down on Vettel after his Ferrari team cemented their status as pre-race favourites.
Red Bull's Max Verstappen was second, 0.115 seconds adrift of Vettel, with Charles Leclerc third in the other Ferrari.
The Monegasque, who spun in the closing stages, was almost half-a-second slower than Vettel.
Valtteri Bottas, the only man who can now stop team-mate Hamilton from winning the championship, was fourth, sixth tenths off the pace.
Hamilton will secure the title with three rounds remaining if he outscores Bottas by 14 points.
But on the evidence of the second running here, his inevitable coronation might have to wait until next week in Austin.
Hamilton was fastest on Friday morning, but it appears he will have his work cut out to match the Ferraris and Red Bulls for the remainder of the weekend.
Mercedes have struggled at the high-altitude venue in recent seasons, and Hamilton finished an eye-watering 0.963 sec behind Vettel. Indeed, the Briton was just two tenths faster than the Toro Rosso of Daniil Kvyat in seventh.
Alex Albon has impressed for Red Bull following his mid-season promotion from their junior team Toro Rosso. He arrived in Mexico City with more points than Verstappen in their five races as team-mates. Albon also finished a career-best fourth at the last round in Japan.
But the London-born Thai made the first mistake of his Red Bull career as he crashed out of the second session at the Autodromo Hermanos Rodriguez.
Albon lost control of his car through the right-handed Turn 7, slamming into the barriers. The 23-year-old walked away from the accident, but played no further part in the afternoon running following extensive damage sustained to the right-hand side of his Red Bull. The running was suspended for more than 10 minutes as Albon's wounded machine was recovered.
The struggling Williams team have brought a revised front wing to Mexico, but British novice George Russell, and team-mate Robert Kubica were 18th and 19th in the order, with only Albon, who did not post a competitive time, behind them.