This paper deals with the problem of state feedback stabilization with finite-time stochastic stability for a class of discrete-time switched stochastic linear systems under asynchronous switching. The attention is focused on designing the feedback controller that guarantees the finite-time stochastic stability of the dynamic system. The finite-time stochastic stability definition of discrete-time switched stochastic systems is introduced. The asynchronous switching idea originates from the fact that switching instants of the controllers lag behind or exceed those of subsystems. On the basis of the average dwell time method and multiple Lyapunov functions approach, a finite-time stochastic stability condition is established. Then, an asynchronously switched controller is designed and the corresponding switching law is derived to guarantee the considered system be finite-time stochastically stable. Two numerical examples are provided to show the effectiveness of the developed results.