We study the impact of finite-size effects on the security of thermal one-way quantum cryptography. Our approach considers coherent/squeezed states at the preparation stage, on the top of which the sender adds trusted thermal noise. We compute the key rate incorporating finite-size effects, and we obtain the security threshold at different frequencies. As expected finite-size effects deteriorate the performance of thermal quantum cryptography. Our analysis is useful to quantify the impact of this degradation on relevant parameters like tolerable attenuation, transmission frequencies at which one can achieve security.