Finlay studied social anthropology at St. Andrew's University, Scotland, and William and Mary, Virginia, after which she joined Reuters . From 1991 to 2003 Finlay worked in Hong Kong as a journalist. By the time of the handover in 1997, she was arts editor of the South China Morning Post.

Finlay had become obsessed with colour as a child, when her father took her to Chartres cathedral and said that people were no longer able to make the blue in the stained glass. In 2000, she decided it was time to go and find out this and other secrets of colour, and Colour:Travels through the Paintbox was published in 2002.

Finlay has also worked in radio presenting, and is the current Director of Communications for the Alliance of Religions and Conservation.