Rain had fallen all morning in Montreal to produce a series of small puddles around the circuit, while the cold conditions yielded a track temperature of just 17.5 degrees Celsius at the opening of the session.
Haas pairing Nico Hulkenberg and Kevin Magnussen were first to explore the damp track with the full wet tyre, Hulkenberg setting a 1m34.889s moments before Magnussen kicked off with a 1m34.797s.
The pair improved on their next tour, but Alonso's opening gambit of a 1m32.217s was enough to lift him to the top despite coming across a "blind" Yuki Tsunoda on the exit of the hairpin.
Esteban Ocon collected a 1m31.428s to move to the top, moments after Tsunoda narrowly avoided the Turn 4 exit wall after spinning, and he managed to catch it in time.
Hulkenberg returned to the top with a 1m30.721s as the times kept falling, but was there for a fraction of a second as Tsunoda grabbed a 1m30.685s to leapfrog the German.
Ocon posted a 1m30.348s despite struggling with the final chicane, but Alonso was on the intermediate tyre and set best first and second sectors. The braking zone for the hairpin proved much more difficult to deal with, and had to escape to the run-off.
Max Verstappen then collected a 1m29.190s to go fastest, 0.144s clear of Charles Leclerc - who had braved a full lap on the intermediate tyre.
Source: Autosport