A novel finite-time tracking control algorithm with disturbances observer is investigated for agile missiles in the presence of mismatched and matched disturbances. A finite-time disturbance observer with the continuous super-twisting algorithm is designed to quickly estimate the mismatched and matched disturbances. An adaptive law on the basis of immersion and invariance theory (I&I) is proposed to estimate the uncertainty of aerodynamics and compensate for the inaccuracy of modeling. An adaptive dynamic scaling factor supervised by a designed supervision factor is implemented. Moreover, a novel sliding mode controller is designed, and a barrier Lyapunov function (CTV-BLF) containing the system state constraints is constructed, which can guarantee that the violation of the constraint will not appear. The finite-time stability of the new proposition is proven via Lyapunov-based analysis. Comparative simulation results illustrate the effectiveness of the proposed scheme.