The correct option is C He finished first although he began late.
An adverb clause is a subordinate clause which does the work of an adverb .It may, therefore, modify some verb, adjective, or sometime another adverb in the main clause.
In this case,
Option C is correct. He finished first is the principal clause and since the subordinate clause although he began late, acts as an adverb modifying the verb 'finished' in the principal clause, it's called a subordinate adverb clause.
Option A and Option B are incorrect because they are simple sentences devoid of any subordinating conjunction.
Option D is incorrect because the sentences have been joined by using an adjective clause where the subject 'he' is being qualified.