Melbourne Renegades 175 for 6 (Finch 70*, Sams 3-33) beat Sydney Thunder 174 for 6 (Rossouw 53, Ross 39) by four wickets
Renegades looked in control for much of the chase but it took an assured finish from Finch for them to reach 175 and claim the win at Marvel Stadium.
The hosts needed 11 runs off the final over, but Thunder's hopes were boosted when pace bowler Gurinder Sandhu had Akeal Hosein caught from a skied slog.
Renegades still needed 10 runs off four balls when Finch (71 off 43 balls) took strike, but he plundered a six then kept his cool with two runs from each of the next two deliveries to finish the job with a ball to spare.
Finch helped set up the highest successful chase so far in BBL 12 alongside Renegades captain Nic Maddinson (39 off 28), while Jake Fraser-McGurk (24 off 18) also impressed early on.
Daniel Sams was the pick of the Thunder bowlers and almost turned the contest in their favour just as Renegades looked set to cruise home.
Thunder earlier won the toss and elected to bat as they looked to bounce back from a horror show in their last outing when they were all out for only 15.
Alex Ross (39 off 23) and Oliver Davies (33* off 18) put together an important 42-run partnership late in Thunder's innings to set Renegades a tricky target until Finch stepped in.
Left-arm spinner Akeal Hosein again opened the bowling for Renegades and ensured the under-fire Thunder made a nervy start with a tight line in the powerplay.
England opener Alex Hales lifted the run rate when he smashed Hosein over the boundary to take Thunder to the 15-run mark this time without loss, although Matthew Gilkes fell one run later.
While it was a much-improved performance from Thunder, they will be sweating on the fitness of Jason Sangha after he went to ground heavily while fielding and injured a shoulder.
Renegades' victory was their first over Thunder in their past five clashes and lifts them to a 2-0 record after earning the wooden spoon in the past three seasons.