Finlay is the son of former Monaghan footballer Kieran "Jap" Finlay. He won an All-Ireland title with the Monaghan Vocational Schools and played a prominent role in Sligo IT's Sigerson Cup success in 2002. He has also won Minor and Intermediate medals with Ballybay Pearses. Finlay was first selected for the Monaghan senior team in 2003. He is regarded as the team's playmaker and played a starring role in their 2005 National Football League Division Two win, Monaghan's first national title in twenty years. In 2008 Finlay was called up to the Ireland international rules football team as a replacement for Tommy Walsh of Kerry.