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With his first wife, Jane Wenham, he had a son, Simon Finney, who works in the film industry as a camera operator. In 1970, nearly a decade after his divorce from Wenham, Finney married French actress Anouk Aimée, a union that lasted eight years. He then married for the third and last time in 2006, to Penelope Delmage, who at the time was working as a travel agent. They remained together until Finney's death.