Antonelli's expected coronation is the main event of the weekend - only a victory by Russell or Ferrari's Lewis Hamilton can theoretically stop Antonelli becoming champion on Sunday. Even then, Antonelli only needs ninth place if Russell wins and 10th if Hamilton does.
Leclerc, who topped both sessions on Friday, was 0.103 seconds quicker than Norris, with Russell just 0.003secs further adrift.
Antonelli was 0.217secs off the pace, and ahead of the Red Bulls of Max Verstappen and Isack Hadjar.
Leclerc's team-mate Lewis Hamilton was 11th overall after stopping on track with a technical problem before completing his qualifying simulation runs on the soft tyre.
"I was feeling really good in the car," said Hamilton. "It's just my luck.
"We did a really good job of getting the set-up in a better place. It's just really unfortunate. I think we're really competitive this weekend as a team and then didn't get to do the long run so I have no idea. It's really difficult to overtake here."
Russell said: "Ferrari are looking strongest at the moment, Leclerc didn't properly finish his lap. Lewis has the issue. We expected on this sort of circuit for them to perform best but Q3 as it stands can go any way."
Behind Hadjar, Racing Bulls duo Arvid Lindblad and Lawson sandwiched Pierre Gasly's Alpine, while McLaren's Oscar Piastri completed the top 10.
On the race-simulation runs later in the session, Leclerc again appeared to be the fastest, but the top four teams were all very closely matched and there looked to be little to choose between the soft and medium tyres.
The runs suggested a one-stop is the most likely strategy on Sunday and overtaking will be difficult because of the challenge of staying close to another car when overheating is such a challenge in the thin air at the 2,200m altitude of Mexico City.
The first session was marked by 10 of the 11 teams running 'rookie' drivers in their cars.
One of them was Cadillac's Colton Herta, who the team are considering promoting to a race seat in place of Valtteri Bottas next season.
Initially, the team felt his running in Mexico had given him enough points under the F1 system to earn a 'superlicence', which is required to race in F1.
But further investigation by governing body the FIA revealed the American nine-time Indycar race winner is still one point short and will have to complete one further practice session this year to secure his licence.
The team plan to do that before the end of the season at one of the forthcoming races.