Anderson and Finn took three wickets apiece for England, while Duminy scored 61 for South Africa.
London: The third and final Test between England and South Africa was delicately poised at stumps on Thursday, with the visitors on 262 for 7 at the end of day one.
JP Duminy made 61 and Vernon Philander added 46 not out as they helped South Africa recover from 105 for 5. James Anderson had England's best figures with 3 for 58 while Steven Finn took 3 for 68.
Finn produced a spell of three wickets from seven balls in the morning session, vindicating the selectors' decision to choose him ahead of Tim Bresnan by removing Alviro Petersen, Hashim Amla and Jacques Kallis.
South Africa won the toss and chose to bat despite the overcast and blustery conditions. England captain Andrew Strauss said it was a "good toss to lose" and the hosts claimed the key wicket of South Africa captain Graeme Smith in the ninth over, caught behind for 14.
Smith stood his ground in the face of a vehement appeal and was given not out by umpire Kumar Dharmasena. But England referred the call and replays showed the ball had nicked his bat.
England then spurned a referral when Petersen was hit on the pads twice from successive deliveries by Finn.
England chose not to review Dharmasena's first decision, but did appeal against the second, which would have missed the stumps. Petersen fell for 22 in the 19th over, gifting England a bonus wicket when he gloved a harmless ball down the leg side from Finn to wicket keeper Matt Prior.
Replays suggested Petersen's hand might have been off the bat when the ball brushed it, but he chose not to ask for a review, and three balls later South Africa lost their third wicket.
Amla was clean bowled for 13 by an inswinger from Finn, and Kallis then fell for 3 in content_cnious circumstances.
Dharmasena ruled Kallis was not out after he appeared to have gloved Finn's delivery behind, but England instantly referred the call. Replays seemed inconclusive and the hotspot camera showed nothing, but Kallis was given out, to his visible annoyance, on the strength of a noise picked up by the stump microphone.
Resuming on 65 for 4, South Africa scored quickly and England used their final review in the 35th over, when after a lengthy delay third umpire Rod Tucker upheld Dharmasena's decision that AB de Villiers was not out lbw to Anderson.
De Villiers survived until the 39th over, when he edged Anderson and was caught at second slip by a tumbling Alastair Cook for 27 - all of which he scored off Finn.
At 105 for 5, South Africa was in trouble, but England missed a chance to run Duminy out in the 52nd over when Anderson's throw was too high for Jonathan Trott to gather. By tea, Duminy and Rudolph were building a useful partnership.
Their stand of 58 ended in the 58th over, when Rudolph got an inside edge to Graeme Swann and was bowled, but Philander proved an equally useful partner.
Duminy reached 50 with a nudge to third man for three runs off Stuart Broad, but he was caught behind off a bottom edge to the third delivery with the new ball from Anderson.
With five overs remaining a power cut took out three of the four floodlights and with the natural light already poor the umpires abandoned play for the day.
South Africa lead the series 1-0 and will replace England at the top of the ICC world rankings if they avoid defeat.