I think it really goes back through history. Finland was a possession of Sweden and then Russia. The nobility would have spoken either of those languages depending on who was in charge, and ethnic Finns were essentially pawns for the larger powers, and the finnish language wasn't even written down much.
This changed when Russia started to crack down on Finnish culture, leading to a surge in pro-Finnish sentiment. People even changed their names from Swedish versions to finnish versions, and went from using "Christian" names to names from finnish mythology or culture. Actually, it's somewhat similar to how black Americans changed naming conventions in the Civil rights era. The very concept of finnish-ness was somewhat of a working class concept. This, combined with a similar law of jante type belief meant there was and is much more of a focus on the collective good than in other countries.
During the Russian revolution, a Civil War erupted between left wing and right wing, with the right wing wanting a German aristocratic monarchy over finland. The right wing actually won, but it was very short lived because Germany lost WW1 right aftwards, and a liberal democracy was formed. Finland was super poor, but started to build itself up as it's own country.
When WW2 rolled around, most people are familiar with the Winter War where they held their ground against a Russian invasion. Most people aren't as familiar with the Continuation War against Russia, where they (with the support of germany) continued to fight against Russia, or the Lapland war, where they actually had to fight against Germany to kick them out of the country. The Germans actually used scorched earth on finland as they retreated, knowing they were losing WW2.
After all of that, a huge swath of finland was destroyed by the Germans, or annexed by the Russians, leaving many homeless. Finland had to provide for those people, so homes were rebuilt rapidly throughout the country. Since they were in the soviet sphere of influence, but they weren't a Warsaw pact country, they didn't get any assistance from the eastern bloc (and they actually had to pay reparations as an axis country). They were also not included in the Marshall plan that helped provide recovery to western Europe.
They survived as a people by taking care of each other, and they are very proud of that. If you go to a Finnish museum, next to works of art and science, you'll see things like the baby box, or other displays about the establishment of the welfare state. Many countries have a welfare system, but treat it like a dirty secret, while they celebrate what they were able to accomplish.
One last thing I think is really cool is that they are not afraid to experiment with policies. Many governments will do little trials of policy here and there, but not many go to the point of actually doing scientifically rigorous studies.
