Matti Vanhanen, the prime minister, told cheering supporters outside a central Helsinki hotel that his Centre party had hung on to its leading position.
He said: "The result is clear. We are number one in votes and number one in seats."
A book by his former girlfriend, exposing details about their love life, has only boosted the prime minister's popularity, analysts say.
Finnish news agency STT reported on Sunday that Vanhanen would request a police investigation into whether the book had violated privacy laws.
Strong support for the opposition Conservative party could lead to the formation of a new centre-right government.
Such a government could leave the Social Democrats in opposition for the first time since 1995.
The election outcome is not expected to yield major changes in the country of 5.3 million, which is one of Europe's most homogenous societies.
There is broad agreement between the major parties on most policies, including on maintaining Finland's neutrality and its welfare system financed by high taxes.
The Conservatives are more open to Nato membership, but are not pushing the issue because of public opposition.
"This is such a consensus society anyway that there's not much of a difference between parties"
Marita Aronen, Social Democrat supporter
Marita Aronen, 57, a staunch Social Democratic supporter, said she would not be surprised if the party was removed from the next coalition.
"This is such a consensus society anyway that there's not much of a difference between parties," she said outside a polling station in northern Helsinki.
In a break with tradition, the major parties campaigned on election day, trying to mobilise their supporters and win over undecided voters.
Vanhanen cast his ballot in his home district outside Helsinki.
Finland has a booming economy and consistently ranks high in international surveys on competitiveness.
The country's notoriously high unemployment rate has dropped to the EU average under Vanhanen's government – 7.6 per cent in January – but critics say he has failed to improve healthcare.
Pensions and elderly care were among the main election issues in a country where the proportion of people aged 65 or older has doubled from 7 per cent in the 1950s.
Almost 30 per cent of the 4.3 million electorate cast advance ballots for the 200-seat parliament.
The vote falls on the 100th anniversary of Finland's first elections, which was the first worldwide to give women the right to run for office.
The new parliament will convene this week and on April 17 politicians will choose a prime minister.