He played 15 seasons in the NBA, predominantly with the Mavericks, but also for the Phoenix Suns (who drafted him in 1995), the San Antonio Spurs, and the Boston Celtics.

Finley's teammates, known collectively as the "Three Amigos", included future NBA draftees Sherrell Ford and Donnie Boyce.

[7] Finley was named to the 1995–96 NBA All-Rookie First Team and finished third in Rookie of the Year voting after averaging fifteen points, 4.6 rebounds and 3.5 assists per game.

He was traded by the Suns on December 26, 1996[9] to the Dallas Mavericks along with Sam Cassell, A.C. Green and a second-round draft pick for Jason Kidd, Tony Dumas and Loren Meyer.

Along with point guard Steve Nash and forward Dirk Nowitzki, he became an integral part of the Mavericks' late '90s "run and gun" offense.

While Finley began to play more of a supporting role (small forward) as he aged and teammate Dirk Nowitzki blossomed, he remained a clutch player for the Mavericks.

[12] Finley became an unrestricted free agent and after being pursued by Detroit, Miami, Minnesota, and Phoenix, he elected to remain in Texas with the San Antonio Spurs.

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.

[9] Although he did not graduate at the time due to the NBA draft, he completed his bachelor's degree in 2014 in agricultural and applied economics at Wisconsin.