 Finlay returned from France in 1919, and was active politically when social justice concerns were debated in the state legislature.In 1920, Finlay was elected bishop coadjutor of the diocese, and he ended his term as rector of Trinity Church on December 31 of that year.He was consecrated bishop on January 20, 1921 by Bishops Williams Alexander Guerry (South Carolina, and acting for the Presiding Bishop), Frederick F. Reese (Georgia), and Joseph B. Cheshire (North Carolina).