This paper focuses on finite-horizon optimum state feedback control problems for interconnected systems of two players involved with asymmetric one-step delay information. For the finite horizon optimum decentralized control problem, a crucial and adequate condition is derived by using Pontryagin’s maximum principle. Under this framework, player 1 transmits its state and control input data with a one-step delay to the controller of player 2, while player 1’s controller does not have access to the real-time or delayed states and control inputs of player 2, resulting in an asymmetric information structure characterized by a one-step delay Then, the solutions to the forward and backward stochastic difference equations are derived. A target tracking system is given in numerical examples to verify the proposed algorithm.