The Scots dominated, particularly in the second half, but missed several good chances before being given a lesson in finishing by the Finns, who scored twice in the last five minutes.
The home side went ahead in the 15th minute, but when Kim Little equalised midway through the second half a Scotland win looked likely. Instead, Finland regained the lead in the 85th minute and added a third before the end.
"The scoreline doesn't reflect the way the game was played, but it's the result that counts," said Anna Signeul, the Scotland coach. "We need to improve our finishing and defending. We have to be sure we learn from this, but at least it happened when we are still in pre-season training."