diff --git a/aioesphomeapi/connection.py b/aioesphomeapi/connection.py
index 9131a09..0d836c4 100644
--- a/aioesphomeapi/connection.py
+++ b/aioesphomeapi/connection.py
@@ -568,7 +568,7 @@ class APIConnection:
         than starts the keep alive process.
         """
         if self.connection_state is not ConnectionState.SOCKET_OPENED:
-            raise ValueError(
+            raise RuntimeError(
                 "Connection must be in SOCKET_OPENED state to finish connection"
             )
         finish_connect_task = asyncio.create_task(
diff --git a/tests/test_connection.py b/tests/test_connection.py
index 16e6e8c..8cb58f1 100644
--- a/tests/test_connection.py
+++ b/tests/test_connection.py
@@ -784,3 +784,12 @@ async def test_connection_cannot_be_reused(
     await connect_task
     with pytest.raises(RuntimeError):
         await conn.start_connection()
+
+
+@pytest.mark.asyncio
+async def test_attempting_to_finish_unstarted_connection(
+    conn: APIConnection,
+) -> None:
+    """Test that we raise when trying to finish an unstarted connection."""
+    with pytest.raises(RuntimeError):
+        await conn.finish_connection(login=False)