This paper considers the finite time stability of stochastic hybrid systems, which has both Markovian switching and impulsive effect. First, the concept of finite time stability is extended to stochastic hybrid systems. Then, by using common Lyapunov function and multiple Lyapunov functions theory, two sufficient conditions for finite time stability of stochastic hybrid systems are presented. Furthermore, a new notion called stochastic minimum dwell time is proposed and then, combining it with the method of multiple Lyapunov functions, a sufficient condition for finite time stability of stochastic hybrid systems is given. Finally, a numerical example is provided to illustrate the theoretical results.