The outbreak of War in Europe in 1914 interrupted Finlay's diplomatic service training and in April, we see him restored to the Army lists as a second lieutenant in the 2nd King Edward's Horse "on probation", promoted to full lieutenant by November of the same year. He joined the 2nd Battalion in the trenches at the front in Ypres, where he served with great gallantry and was awarded the Military Cross with a bar. By the end of 1914, Finlay had been promoted to Captain and in 1915 having been badly gassed at the Second Battle of Ypres, he was returned back to England to recover from chlorine inhalation. In the same year, we find Finlay assigned to work on the development of Tanks with William Foster &amp; Co. out of Lincoln before reporting to Battalion and Brigade staff.