The Porsche driver posted a 1m07.215s within an added 10 minutes at the end of the session, leaping ahead of two-time FE champion Jean-Eric Vergne to take control of the session.
At the start of the session Wehrlein's team-mate Andre Lotterer was the first to bring the times into the 1m09s ballpark, a mere thousandth of a second clear of Sergio Sette Camara (Dragon Penske), before Diriyah race one podium-finisher Jake Dennis thundered to a 1m09.312s with a clean sweep of purple sectors for Andretti.
Mahindra driver Oliver Rowland, fastest in FP1 and FP2, then brought the times into the 1m08s but was immediately surpassed by Sam Bird (Jaguar), who was in turn supplanted by Edoardo Mortara at the top - the Swiss driver logging a 1m08.614s for Venturi.
Mortara then took a quarter of a second out of his own benchmark, tailed closely by Dennis, before Bird flew to the top with a 1m08.159s as it became clear the Diriyah circuit was brimming with more grip compared to the rest of the weekend.
Bird held control over the session past the midway point, but was then knocked off his perch by Maximilian Guenther (Nissan e.dams).
First to crack the 1m07s was Mortara, who fired in a 1m07.656s as Venturi team-mate Lucas di Grassi nestled in behind him, albeit three tenths down, before Guenther's team-mate Sebastien Buemi leaped into second.
But Cassidy's crash at Turn 11, where he got onto the dust and slid into the wall - clunking the left side against the barrier - put the session on ice with 12 minutes left on the clock.
The Kiwi reported over the radio that "the chassis is fine", but his Envision had plenty of damage to the left hand side - with both front- and rear-left suspension geometries looking broken, requiring a hefty rebuild if he is to make qualifying.
An extra 10 minutes was added at the top of the hour, given the lengthy pause to clear Cassidy's car.
Once running resumed, Mitch Evans (Jaguar) and Dennis both had attempts to overturn Mortara's advantage - Dennis finding a hundredth of a second in hand - but Mortara raised the bar a fraction higher moments later.
Rowland returned to the top with a 1m07.550s and looked good value to continue his dominance of practice until Vergne dispatched him by a tenth.
But Wehrlein, only on a 220kW lap, surged to the top - and his time withstood a potential late onslaught from Friday's winner Nyck de Vries - but traffic dampened the reigning champion's lap late on and left the Mercedes driver only eighth.
Wehrlein ended the session a quarter of a second ahead of Vergne, with Rowland - who will cop a three-place penalty for today's race following his race one incident with Robin Frijns - and Mortara behind.
Da Costa, an early retirement on Friday's race after lap one contact with Dan Ticktum, was fifth fastest ahead of Dennis, Lotterer and de Vries, while Buemi and Frijns completed the top 10.
