Finnerty was born in Rochester, New York, and grew up in the small town of Bath, New York. He attended Emerson College in Boston. He was a member of the hit off-Broadway show Stomp in New York City. In August 1998, he married Actress Kathy Najimy. Gloria Steinem officiated the ceremony. The couple has one daughter, Samia Najimy Finnerty, born December 1996.