They fought twice against the Soviets during WWII, and while they technically lost and had to cede a significant part of their territory to the Soviet Union + pay reparations, they never actually lost their sovereignty. In fact, the Soviets suffered such heavy losses and humiliation by a tiny nation that their victory felt more like defeat and they abandoned their plans to incorporate Finland into the Soviet Union altogether.
Fun history fact: The Finns perfected the use of petrol bombs in the Winter War and named it Molotov cocktail.