Predefined mymargin finite-time output containment control problem for nonlinear multi-agent systems with multiple dynamical leaders under directed topology is investigated, where the outputs of followers can converge to the predefined convex hull formed by the multiple leaders within a finite time, and the leaders can have unknown control inputs. Firstly, for the directed topological structure among the followers, a distributed adaptive observer is designed to estimate the whole states of all the leaders under the influences of the leaders’ unknown inputs. By utilizing Hardy’s inequality and common Lyapunov theory, the finite-time convergence of the proposed observer is proved. On the basis of this conclusion, a predefined distributed containment control protocol including the desired convex combinations of the leaders is developed for each follower by using the given weights. Then an algorithm is proposed to design the control parameters in the proposed containment control protocol. With the help of the output regulation theory, the finite-time output containment criterion for nonlinear multi-agent systems in the presence of the leaders’ unknown inputs is derived. Finally, a numerical simulation example is presented to demonstrate the effectiveness of the theoretical results.