This paper concentrates on the finite-time Hsub.∞ control problem for a type of stochastic discrete-time Markovian jump systems, characterized by time-delay and partly unknown transition probabilities. Initially, a stochastic finite-time (SFT) Hsub.∞ state feedback controller and an SFT Hsub.∞ observer-based state feedback controller are constructed to realize the closed-loop control of systems. Then, based on the Lyapunov–Krasovskii functional (LKF) method, some sufficient conditions are established to guarantee that closed-loop systems (CLSs) satisfy SFT boundedness and SFT Hsub.∞ boundedness. Furthermore, the controller gains are obtained with the use of the linear matrix inequality (LMI) approach. In the end, numerical examples reveal the reasonableness and effectiveness of the proposed designing schemes.