In 1918 Finlay enlisted in the Australian Imperial Force, serving in France and Great Britain.

In the 1920s and 1930s he held several offices in the Australian Natives' Association and in a coachmakers' union later known as the Vehicle Builders' Employees' Federation of Australia.

He eventually became president of the coachmakers' union, and then from 1934 to 1944 general secretary of its South Australian branch.

In that position, he negotiated the union's strike-free agreements with the automobile manufacturer General Motors-Holden.

In 1943 he shared the Labor Senate ticket with Sid O'Flaherty and Theo Nicholls.