Lewis Hamilton was quickest in both sessions at the Hungaroring on Friday, with his Mercedes team-mate Rosberg having to settle for being second fastest twice.
Rosberg, though, expected Red Bull to make more of an impression, with reigning world champion Sebastian Vettel fifth and then third fastest while Daniel Ricciardo was only eighth and seventh, as Mercedes made another encouraging start to the weekend.
"I was a bit surprised that we had the quickest car here today as I expected the Red Bulls to have gotten a bit closer again, so that's a really encouraging start to the weekend," said the German.
"The car feels great and is super quick in the corners, so overall I'm quite happy. I definitely still need to find some time and there is some set-up work for me and my engineers to do tonight if we want to achieve that.
"But I'm confident that we can make it happen. Qualifying will be crucial here, as overtaking is not easy at this great track.
"We'll work hard as always during the evening and see what happens tomorrow."
Rosberg will be out to deny Hamilton a record fifth win in Hungary - and his third in a row - as the German attempts to increase his 14-point lead in the drivers' standings.