Boone Jenner of the Oshawa Generals, Mark Stone of the Brandon Wheat Kings and Brendan Gallagher of the Vancouver Giants scored in the first of three exhibition games Canada will play before opening the tournament Sunday in Edmonton.
Mark Visentin of the Niagara IceDogs stopped 22 shots in Canada's net for the win.
Canada's 22-player team was announced last week and has been training and team building since then in Banff, Alta.
"To finally compete against another team and another country was good," Jenner said. "I think everyone is feeling good about themselves right now."
Teemu Pulkkinen scored the lone goal for Finland.
Christopher Gibson of the Chicoutimi Sagueneens played two periods in Finland's net, making 21 saves.
The Los Angeles Kings prospect kept the score close as Canada generated more scoring chances than the Finns. Gibson was relieved for the third period by Sami Aittokallio, who turned away nine of 10 shots.
"Canada was a little bit better. They were a little bit faster than we were today," Finland coach Raimo Helminen said. "We had enough chances to score goals too, but today we were not that hungry like Canada was."
Canada was without wingers Jonathan Huberdeau (foot) and Quinton Howden (concussion symptoms). With only 11 forwards, Canadian head coach Don Hay juggled his forwards lines. Jenner and Michael Bournival of the Shawinigan Cataractes played both centre and on the wing during the game.
The Canadian team was to return to Banff after the game. Canada travels to Red Deer, Alta., for a pre-tournament game Thursday against Switzerland, followed by a final tune-up Friday in Edmonton versus Sweden.
Canada had several scoring chances early that they didn't bury, or they were frustrated by Gibson.
The hosts trailed 1-0 after the opening period on Pulkkinen's power-play goal. Canada put more pressure on the Finns in the third period, outshooting then 14-8 and getting more traffic around the Finland net.
"I thought we were a little bit nervous at the start," Hay said. "I thought we stuck with it and got better. That's a real good sign. I thought Mark Visentin played really solid for us and as the game went on, he made some real big saves for us."
Gallagher drove hard to the net to score at 18:21 of the third period.
Canada scored a pair of goals in the second to take a 2-1 lead. Stone, a Brandon Wheat Kings forward, banged in his own rebound at 12:45.
Brett Connolly of the NHL's Tampa Bay Lightning smartly head-manned the puck up to Jenner on the wing. The Columbus Blue Jackets prospect beat Gibson between the pads at 6:16 for Canada's first goal of the night.
Devante Smith-Pelly of the Anaheim Ducks is one of two NHL players on the Canadian roster along with Connolly. The Toronto native made his presence felt with several big checks.
Smith-Pelly used his power in the offensive zone, circling the net and creating space for his linemates. Jenner had three excellent scoring chances, including a first-period breakaway, in addition to his goal.
"We had a lot of opportunities, but you know what? There's a lot of work to be done," Jenner said. "That was just the first game. We can just build on that."
Canada was scoreless on four power-play chances while the Finns made the most of their one opportunity. So Canada's special teams need some work, as well as their defensive coverage in the neutral zone.
"Playing against Europeans, they really like to build up speed in the neutral zone and that's an area we have to get a little more structured in, a little more disciplined in," Hay said.
In the first period, Rasmus Ristolainen dished the puck to Pulkkinen at the left face-off circle. Visentin got a piece of his glove on Pulkkinen's low shot, but not enough to stop it.
The players to watch on Finland are the brothers Mikael and Markus Granlund. Mikael was drafted ninth overall by the NHL's Minnesota Wild in 2010, while Markus was a second-round pick of the Calgary Flames this year. Mikael had an assist on the Finland goal Monday.
Finland has won the world junior championship only once in 1998.
"I don't want to jinx us but I think we can be really in the top," Gibson said. "We have a good team. We've got guys who can score a lot of goals and we can play defensively.
"Tonight we proved that we can actually play against the top teams in the tournament."
Canada, Finland, the United States, the Czech Republic and Denmark play Pool B games in Edmonton.
Pool A games involving defending champion Russia, Sweden, Switzerland, Latvia and Slovakia will be in Calgary, followed by medal-round games in that city.
Notes: No Canadian player wore the captain's "C" on Monday. Smith-Pelly, Jaden Schwartz and Brandon Gormley all wore an assistant captain's "A" . . . Germany and France earned promotion to the 2013 world junior hockey championship in Ufa, Russia, by winning the second-tier men's junior championship. The countries ranked ninth and 10th in Alberta are relegated to that tournament.