Finlay began his musical training as a choral scholar at St. Paul's Cathedral and started learning the French Horn aged 11. He was awarded a music scholarship to Hampton School where he studied the horn with Richard Kennedy. He studied at the Junior Department of the Royal College of Music from 2007 to 2010, winning the Angela Bull Memorial Competition, the Anthony Gray Horn Prize and the Freda Dinn and Ida Mabbett Prize, and was runner-up in the Peter Morrison Concerto Competition.
Finlay was a Foundation Scholar at the Royal College of Music where he studied with Simon Rayner, John Ryan, Jeffrey Bryant and Roger Montgomery (natural horn), and graduated in 2014 as Bachelor of Music with First Class Honours. He completed a one year postgraduate Masters degree studying with David Pyatt, Chris Parkes, Richard Bissill and Alec Frank-Gemmill at the Guildhall School of Music and Drama in 2015 as a Leverhulme Trust scholar, supported by the Countess of Munster Musical Trust, the Martin Musical Scholarship Fund and the Seary Trust.
As a soloist, Finlay was a Brass Finalist in the BBC Young Musician of the Year competition 2010, broadcast on radio and television, and has performed Mozart's 4th Concerto, Strauss' 1st Concerto, Schumann's Konzertstuck for Four Horns three times, and Britten's Serenade for Tenor, Horn and Strings three times.
As an orchestral musician, Finlay was a member of the Gustav Mahler Jugendorchester, the European Union Youth Orchestra and the National Youth Orchestra of Great Britain, and has worked professionally with the Academy of St Martin in the Fields, the Aurora Orchestra, the BBC Concert Orchestra, the BBC National Orchestra of Wales, the BBC Philharmonic Orchestra, the BBC Scottish Symphony Orchestra, the BBC Symphony Orchestra, the Bournemouth Symphony Orchestra, the City of Birmingham Symphony Orchestra, the Konzerthausorchester Berlin, the London Symphony Orchestra, the Northern Ballet Sinfonia, the Orchestra of the Age of Enlightenment, the Orchestra of English National Opera, the Orchestra of the Royal Opera House Covent Garden, the Orchestra of Welsh National Opera, the Philharmonia Orchestra, the Royal Ballet Sinfonia, the Royal Philharmonic Orchestra & the Royal Scottish National Orchestra,
