Finley attended Proviso East High School in Maywood, Illinois, graduating in 1991. In Finley's senior season, Proviso East won the 1991 IHSA class AA boys basketball tournament, and Finley was named to the all-tournament team. Finley's teammates, known collectively as the "Three Amigos", included future NBA draftees Sherrell Ford and Donnie Boyce.
In his first season with the Mavericks, he led them in scoring, assists and steals. Along with another guard Steve Nash and forward Dirk Nowitzki, he became an integral part of the Mavericks' late '90s "run and gun" offense.
In 2000, he was selected to represent the Western Conference in the 2000 All-Star Game, in which he scored eleven points. On January 23, 2001, Finley tied an NBA record by recording eight steals in one half of a game. In 2001 he was again selected to represent the Western Conference on All-Star weekend. He played for the US national team in the 2002 FIBA World Championship, which lost a record three games and failed to win a championship for the first time in a major competition since FIBA opened international competitions to NBA players.
While Finley began to play more of a supporting role as he aged and teammate Dirk Nowitzki blossomed, he remained a clutch player for the Mavericks. For financial reasons, however, in 2005 he was waived by Dallas to avoid luxury taxes (as part of the league's new labor agreement) on his 51.8 million US$ salary over the next three years. Finley became an unrestricted free agent and after being aggressively pursued by Detroit, Miami, Minnesota and Phoenix, he elected to remain in Texas with the San Antonio Spurs.
In San Antonio he adapted well to a secondary role as Manu Ginóbili's backup, developing and emphasizing his outside shooting. The Spurs were knocked out of the 2006 NBA Playoffs by his former team one year after he made the switch. During the series, Finley was punched below the belt by former teammate Jason Terry during Game 5, which earned Terry a suspension for the next game of the series.
In the fifth and final game of San Antonio's first-round series against Denver in 2007, Finley set the Spurs' record for three-point field goals in a playoff game, making eight of nine attempts. He eclipsed the previous record of seven set by teammate Bruce Bowen in 2003.
Finley won an NBA championship in 2007 with the San Antonio Spurs in his 12th NBA season. He was given the "game ball" by his teammates, and specifically mentioned in post-game interviews by Robert Horry and Tim Duncan. Out of the original trio from the Dallas Mavericks, he became the first to achieve a title, surpassing the 2006–07 NBA MVP Nowitzki and previous two-time MVP Nash.
At Finley's request, the Spurs bought out the final year of his contract and waived him on March 1, 2010, freeing him to sign with another team.
On March 4, 2010, Finley reached a verbal agreement with the Boston Celtics to join the team for the remainder of the 2009–10 season. He signed with the Celtics on March 6, 2010. At the end of the season, Finley announced he would retire.