He had an impressive rookie season, being named to the 1995-96 NBA All-Rookie First Team, after averaging fifteen points, 4.6 rebounds and 3.5 assists per game. He became only the third rookie in Suns history to score over 1,000 points in a season. Despite his solid play, he was traded by the Suns in 1997 to the Dallas Mavericks for Jason Kidd, Tony Dumas and Loren Meyer. In his first season with the Mavericks, he led them in scoring, assists and steals. Along with another ex-Sun Steve Nash and forward Dirk Nowitzki, he became an integral part of the Mavericks' "run and gun" offense in no time, the trio often being called "The Big Three".
In 2000, he was selected to represent the Western Conference in the 2000 All-Star Game, in which he scored eleven points. In 2001 he was again selected to represent the Western Conference on All-Star weekend. He was a member of Team USA at the 2002 World Championship which lost a record three games, failing to win a championship for the first time in a major competition since FIBA opened international competitions to NBA players.
Finley became more of a supporting role as he aged and teammate Dirk Nowitzki blossomed. He remained a clutch player for the Mavericks. For financial reasons, however, in 2005 he was waived by Dallas to avoid luxury taxes (as part of the league's new labor agreement) on his $51.8 million USD salary over the next three years. Finley became an unrestricted free agent and after being aggressively pursued by high-calibre teams like Detroit, Miami, Minnesota and Phoenix, he elected to remain in Texas with the San Antonio Spurs. In San Antonio he has adapted well to a secondary role as Manu Ginobili's backup. The Spurs were knocked out of the 2006 NBA Playoffs by his former team one year after he made the switch.
In 1996 he was named to the All-Rookie First Team and finished third in Rookie of the Year voting.