England lost both home one-day series in the summer, against Sri Lanka and India, and have won only seven of their 18 one-day internationals this year.
They are now touring Sri Lanka in the build-up to the World Cup in Australia and New Zealand, starting in February.
Finn, 25, told BBC Sport: "If we stick together, I think we're capable of upsetting people at the World Cup."
England beat Sri Lanka A by 56 runs on the Duckworth-Lewis method in their opening match of the winter on Friday.
They face the same opposition on Sunday prior to a seven-match one-day international series against the full Sri Lanka side.
England are not among the favourites for the World Cup, but Middlesex right-armer Finn believes their status could benefit them.
"It suits us to go over there as underdogs and if we can slip under the radar having had a good month of preparation under our belt here in Sri Lanka," he said.
"In the last few games of the season we put in some good performances against India, who are arguably the best one-day team in the world.
"If we can get some belief and team ethics in place to go forward into the World Cup that should stand us in good stead."
Paceman Steven Finn believes England can benefit from entering next year's World Cup as underdogs.