We study the impact of the finite-size effect on the continuous-variable measurement-deviceindependent quantum key distribution (CV-MDI QKD) protocol, mainly considering the finite-size effect on the parameter estimation procedure. The central-limit theorem and maximum likelihood estimation theorem are used to estimate the parameters. We also analyze the relationship between the number of exchanged signals and the optimal modulation variance in the protocol. It is proved that when Charlie's position is close to Bob, the CV-MDI QKD protocol has the farthest transmission distance in the finite-size scenario. Finally, we discuss the impact of finite-size effects related to the practical detection in the CV-MDI QKD protocol. The overall results indicate that the finitesize effect has a great influence on the secret key rate of the CV-MDI QKD protocol and should not be ignored.