He was a two-time All-Star (1997, 2000), World Series champion (2001), and five-time Gold Glove Award winner (1995, 1996, 1999, 2000, 2004).
Finley grew up in Paducah, Kentucky, he attended Paducah Tilghman High School and Southern Illinois University, where he earned a degree in physiology and played for the baseball team from 1984 to 1987.
In 1986, Finley was drafted by the Atlanta Braves in the 11th round of the draft, but did not sign, instead choosing to remain at SIU, where he was a two-time All-Missouri Valley Conference performer and a third-team All-American in 1986, and named the team's Most Valuable Player in 1987. He is a member of the Saluki Baseball Hall of Fame.
He was a member of the 1986 Team USA squad that won a bronze medal during international competition in the Netherlands.
In 1987, he was drafted by the Baltimore Orioles in the 13th round of the draft, and did sign.
In 919 at bats in the minor leagues, Finley batted .309 and stole 68 bases.
On August 29, 2009, Finley was inducted into the Rochester Red Wings Hall of Fame.
In January 1991, he was traded by the Orioles with Pete Harnisch and Curt Schilling to the Houston Astros for Glenn Davis. That year he was third in the league in triples (10), sixth in hits (170), ninth in stolen bases (34), and tenth in sacrifice hits (10). His 13 outfield assists tied Barry Bonds and Paul O'Neill for third in the league.
In 1992, he led the NL in games played (162), was second in triples (13), third in stolen bases (44; a career high) and sacrifice hits (10), and seventh in hits (177).
In 1993, he led the league in triples (13). He had been slowed in spring training by Bell's palsy, a viral infection of a nerve in his upper neck, resulting in numbness that prevented him from closing his left eye.
In 1994, he was second in the league in sacrifice hits (13), and tenth in triples (5). He appeared in only 94 games due to an injury and strike-shortened season. He missed nearly a month after being hit by a pitch on June 8 in Montreal, breaking the third metacarpal bone in his right hand. In December 1994, he was traded by the Astros with Ken Caminiti, Andújar Cedeño, Roberto Petagine, Brian Williams, and minor leaguer Sean Fesh to the San Diego Padres for Derek Bell, Doug Brocail, Ricky Gutiérrez, Pedro A. Martinez, Phil Plantier, and Craig Shipley.
In 1995, Finley batted a career-high .297 and was third in the league in runs (104) and triples (8), and fourth in stolen bases (36) and hits (167). Finley also won his first Gold Glove Award. He was the only National League player to have 100 runs, 10 home runs, and 35 stolen bases. He stole a career-high 4 bases on August 12 vs. St. Louis. He was in the delivery room on September 1 when son Reed was born, and then headed to the ballpark and played in the 8th and 9th innings of San Diego's 6–3 win over the Philadelphia Phillies.
He was named MVP in the All-Stars Series between Japan and United States (Tokyo, 1996). Later in 1996, during Rickey Henderson's first season with San Diego, he boarded the team bus and was looking for a seat. Finley said, "You have tenure, sit wherever you want." Henderson looked at Finley and said, "Ten years? Rickey's been playing at least 16, 17 years." In 1996, Finley was second in the NL in runs (126; a career high) and doubles (45), third in extra base hits (84), fourth in triples (9), and sixth in hits (195). Finley won his second Gold Glove Award and came in tenth in the MVP voting. He established Padres' records in runs, doubles, extra-base hits, and total bases.
In 1997, he hit three home runs in a game twice in the same season (May 19 and June 23). Finley was voted to the All-Star team, and finished eighth in the league in runs (101).
He hit his first game-ending grand slam on April 10, 1998, for the Padres. The Padres would appear in the World Series that year against the Yankees, only to be swept in four games.
In December 1998, he signed as a free agent with the Arizona Diamondbacks. In 1999, he hit three home runs and drove in 6 runs in a game on September 8, 1999. That season he had 34 home runs and a career-high 103 RBI, and was seventh in the league in extra base hits (76). Finley also won his third Gold Glove Award.
In 2000, he had 35 home runs and a career-high .544 slugging percentage, and was ninth in the league in sacrifice flies (9). He was voted to the All Star team. Finley also had 10 outfield assists and won his fourth Gold Glove Award. He was named the team co-Player-of-the-Year with Luis Gonzalez by the Arizona chapter of the BBWAA.
In 2001, Finley had a stellar postseason, leading the Diamondbacks with a .421 batting average in the National League Division Series and 5 RBI in the National League Championship Series as Arizona went on to win its first World Series. On August 30 of that year, Finley became the Diamondbacks' first position player to serve as a relief pitcher, during a 13–5 loss to the San Francisco Giants. Finley Would win his first and only World Series title of his career against the Yankees in 7 games, the same team he lost 3 years prior to in 1998 while with the Padres.
In 2003, Finley led the league in triples (10), becoming the oldest player in Major League history to lead his league in triples.
In July 2004, he was traded by the Diamondbacks with Brent Mayne to the Los Angeles Dodgers for Koyie Hill, Reggie Abercrombie, and Bill Murphy (minors).
He hit his second career game-ending grand slam October 2, 2004. In 2004, he was eighth in at bats (628) and plate appearances (706), and was ninth in home runs (36; the third-highest total ever for a 39-year-old in the Majors, behind Barry Bonds and Hank Aaron). Finley also won his fifth Gold Glove Award and tied Pete Rose's record of playing in 162 games at the age of 39. He hit a game-winning, walk-off grand slam to cap a seven-run ninth inning on October 2 against San Francisco that clinched National League Western Division championship for the Dodgers.
In December 2004, Finley signed as a free agent with the Los Angeles Angels of Anaheim. In 2005, he missed 18 games due to strained right shoulder, his first DL stint since 1997. In December 2005 he was traded by the Angels to the San Francisco Giants for Edgardo Alfonzo.
In 2006, at the age of 41, Finley became the oldest player ever to play more than 100 games in center field.
On November 1, 2006, the Giants declined their option on Finley for the 2007 season, which made him a free agent. On February 24, 2007, Finley signed a minor-league contract with the Colorado Rockies. After an impressive spring, Finley made their Opening Day roster. On June 5, 2007, the Rockies designated Finley for assignment, giving the Rockies 10 days to trade, release, or outright Finley to the minor leagues. Finley had batted .181 (17-for-94) with one home run and two RBIs in 43 games for Colorado. He was released on June 17, 2007. At the time of his release, of all active players, he was first in triples (124), 3rd in games (2,583) and at-bats (9,397), 4th in hits (2,548), 7th in runs (1,443), 8th in total bases (4,157), and 9th in doubles (449) and stolen bases (320). He also had the 4th-most center field appearances in major league history. He was also the sixth-oldest player in the NL.