The new car also performed reliably, something the team have been concerned about after earlier tests in Spain, with Heidfeld carrying out a full race distance and completing 104 laps with a best time of one minute 30.469 seconds.
That time, set during a qualifying simulation, was close to the circuit race lap record of 1:30.252 set in 2004 by Michael Schumacher in a 3.0 litre V10-engined Ferrari before the sport reduced capacity.
"Today was a good day," Heidfeld told reporters. "We did a race simulation that went problem free, which was very satisfying
Spain's double world champion Fernando Alonso was second quickest for McLaren, in 1:31.225 seconds.
Briton Jenson Button was third fastest for Honda in 1:31.807 and compatriot Lewis Hamilton fourth in 1:31.931 for McLaren.
Button did 117 laps, Alonso 72. Poland's Robert Kubica, Heidfeld's team mate, showed BMW's increasing reliability with fifth place on the timesheets after 100 laps.
The Bahrain test has added significance, with the start of the season-opener fast approaching in Australia on March 18, and teams trying out their Melbourne aerodynamic packages for the first time in hot conditions.