Cory Monteith, the actor who played Finn, died of an accidental heroin overdose July 13. He was 31.
"The Quarterback" is the third episode of the show's fourth season and the first installment to deal with Monteith's death.
The episode takes place three weeks after the former high school football player and glee club member dies and everyone is gathering for his memorial.
How Finn died at the age of 19 is not mentioned.
"I don't know what to say either," Lea Michele's Rachel said on Thursday's episode. "I loved Finn, and he loved all of you guys. I know he did. Before Finn, I used to sing alone, and this was the first song that I sang with him when we'd drive around together. This is for him."
Rachel then sings "Make You Feel My Love."
Rachel was Finn's girlfriend on the show, while Michele was Monteith's partner in real life.
Other songs featured in the heartfelt tribute episode include "Seasons of Love," "I'll Stand By You," "No Surrender" and "If I Die Young."