Experts believe the finger belonged to a child who died 48,000 to 30,000 years ago.
It was thought only two species of early humans lived at that time - the ancestors of modern man and the Neanderthals, who died out soon afterwards.
But the DNA evidence published in the journal Nature reveals a third species.
The latest study was based on an analysis of 'mitochondrial' DNA - a genetic code passed from mothers to children.
Researcher Dr Svante Pääbo said the code was different from that of Neanderthals and modern humans and was 'a new creature that's not been on our radar screens so far'.
The scientists are unable to say what X-Woman looked like and are even unsure if the finger belonged to a male of female, but Dr Pääbo said they named her X-Woman 'because its mitochondrial and we want to take a feminist tack on this'.
The discovery of the 'X-Woman' comes as scientists revealed images of what man looked like millions of years ago.
Gathering bone fragments from across the globe, paleoanthropologists used sophisticated research methods to form the 27 model heads, which are on show at the Senckenberg Natural History Museum in Frankfurt, Germany.
The exhibition goes back seven million years to sahelanthropus tchadensis and traces the numerous stages of man culminating with modern-day homo sapiens.
Each of the heads is used to tell its story: where they lived; what they ate; and what killed them.
It shows how researchers today use satellite image analysis and computer tomography.
There is little doubt that Africa is the cradle of humanity and this is where the most ancient of the remains were unearthed. But clues to other pre-human species have been found in the Middle East and Far East.
Only a few thousand fossils of pre-human species have ever been discovered and entire sub-species are sometimes known only from a single jaw or fragmentary skull.
This skull was fashioned from a skull and jaw found in the remains of 17 pre-humans (nine adults, three youths and five children) which were discovered in the Afar Region of Ethiopia in 1975. They are believed to have lived 3.2million years ago
Meet 'Mrs Ples' who was unearthed in Sterkfontein, South Africa in 1947. Her whole skull was found and it is believed she lived 2.5million years ago. Sediment traces found on the inside of her skull indicate to scientists that she died by falling into a chalk pit
The skull of this male adult was found on the western shore of Lake Turkana in Kenya in 1985. He is believed to have lived in 2.5million years ago. The shape of the mouth indicates that he had a strong bite and that he could chew sinewy plants
This species of sub-human - Homo rudolfensis - was found in Koobi Fora, Kenya, in 1972. The adult male is believed to have lived about 1.8million years ago. He used stone axes ate meat and plants and lived on the wooded edge of Lake Turkana in Eastern Africa
Researchers shaped this skull on the basis of this discovery of 'Zinj' in 1959. The adult male lived 1.8million years ago in the Olduvai Gorge of Tanzania. He would have fed himself on seeds, plants and roots which he dug out with bones
The near-complete skeleton of 'Turkana Boy', a male adolescent aged about 13, was found in Nariokotome, Kenya, in 1984. He lived 1.6million years ago. His teeth and skull bear a close resemblance to discoveries in Asia of homo erectus
Experts are often forced to resort to educated guesswork to fill in the gaps in research to come up with images of human ancestors.
Each new discovery means paleoanthropologists have to rethink the origins of man's ancestors.
The previously held concept of primitive man - characterised by a large brain and the ability to manufacture tools - has had to be changed by researchers.
European natives of primitive man, homo heidelbergensis, are believed to have been able to make perfect javelins from wood 400,000 years ago and are also thought to have had the ability to plan for the future.
Neanderthals are also now thought to have had far more culture and craft skills than earlier research indicated.
Discovered in Java, Indonesea, this skull belonging to 'Sangiran 17' is believed to have belonged to an adult male who probably lived around 800,000 years ago. He was found by an Indonesian farmer hacking away in a field. Sangiran is believed to have used fire
The discovery of this adult male in Sima de los Huesos, Spain, in 1993 points to an early stage in the evolution of neanderthal man due to the shape of his face. 'Miquelon' was around 1.75m tall and lived about 500,000 to 350,000 years ago. His remains were found with that of 31 others which led researchers to believe this was a burial site
The skull and jaw of this female 'hobbit' was found in Liang Bua, Flores, Indonesia, in 2003. She was about 1m tall and lived about 18,000 years ago. The discovery brought into question the belief that Homo sapiens was the only form of mankind for the past 30,000 years. Homo sapiens are the primate species to which modern humans belong
The 'Old man of La Chapelle' was recreated from the skull and jaw of a male found near La Chapelle-aux-Saints, in France in 1908. He lived 56,000 years ago. His skeleton indicated he suffered a number of illness including arthritis and had numerous broken bones. This was not noticed when he was first discovered and gave rise to the mistaken belief that neanderthal man was a hunched individual. His relatively old age of between 40 to 50 indicates he was looked after by a clan