A NASA video feed showed Fincke and Lonchakov in their Russian-built space suits leaving the station from a hatch on its docking compartment.
"OK, going out into space again," Fincke said in Russian. "It's good to be here again." The comments were audible on the NASA feed carried on the Internet.
Russian scientists hope data from the probe installed by Fincke early in the spacewalk will help explain malfunctions that have repeatedly occurred as a Russian module has attempted to separate from the space station.
Fincke, in a red-striped suit, and Lonchakov, in a blue-striped suit, could be seen attaching cables and performing other tasks as the sun periodically rose and set on the cosmic construction site.
Lonchakov referred to Fincke using the Russian affectionate diminutive "Misha" as the two passed tools and cables to each other illuminated by lights attached to their helmets.
Russia's Soyuz module entered the Earth's atmosphere too steeply in separate descents after detaching from the station in October 2007 and April this year, leading to faster- and bumpier-than-usual falls for the crews.
Investigators believe the Soyuz capsule detached too late because a so-called pyrobolt - an exploding connector that keeps the module fixed to the space station - failed to detonate on time.
Other experiments and probes are to be deployed and retrieved during the walk.
One experiment, from the European Space Agency, will be attached to the exterior of the station to gather data on the effects of the space environment on a variety of materials.
It is Fincke's fifth spacewalk, Lonchakov's first and the 119th spacewalk conducted from the international space station.
U.S. Flight Engineer Sandra Magnus, the third member of the station's Expedition 18, was inside the station helping coordinate the mission with centers in Houston and outside Moscow.