The "it" couple posted sweet selfies and loved-up shots until the news hit, revealing no sign of unrest in the relationship.
Key, 20, and his 18-year-old beauty queen, who made it to the finals of Miss Auckland in 2015, had been dating for more than a year.
Just weeks ago Key posted a romantic message on his Instagram account, in celebration of their 12-month anniversary.
"It's not every day You meet someone so special," he gushed in an Instagram post.
The pair holidayed in Maui, Hawaii, with Max's father, Prime Minister John Key, mother Bronagh and sister Stephanie over Christmas.
They appeared to be joined at the hip, saying they missed each other after just hours apart.
It's understood Finlayson was the one to have taken a step back from the relationship, though the break-up is reported to be very fresh.
Neither party have made any mention of parting ways on social media.
- nzherald.co.nz