Marquez, who many favour to repeat victory this year thanks to his fearless riding style, was in fine form, pushing his Honda to get the most out of the conditions.
"The grip (tyre traction) was quite good. Last year during testing here, I was nervous but now I feel more relaxed.
"Frankly, my lap time was quite fast. I was surprised that many riders were also fast."
Cheerful Marquez said he hoped to work on the bike's braking and rear stability while exiting the sharp corners at Sepang.
The 20-year-old Spaniard clinched the 2013 MotoGP title in his first season in the category, becoming the youngest world champion.
Lorenzo, who has dismissed reports of a move to Ducati in 2015, said 47 laps on the hot track was a challenge.
"Physically, it was tough. I could not make many laps. The bike is not so smooth as before," he said, slapping his belly jokingly to suggest he could stand to lose a bit of off-season weight.
Pedrosa said braking and clutch control kept his attention on Tuesday but he planned to focus on his chassis and tyres on day two.
The testing wraps up Thursday, but the riders will return to Sepang for another three-day session from February 26.
They will have a further session at Phillip Island in Australia and at the Losail circuit in Qatar, before the new season officially begins at Losail on March 23.
Malaysia will host the championship in October.
-AAP
