"Filming" is being used as part of a noun phrase here. Let's ignore the rest of that phrase (i.e., "the new James Bond film"):
They've just finished filming.
Cambridge Dictionary defines filming as "the activity of making a film". However, you could get more strict and define filming to be the process of shooting the scenes by camera. For example, the sound mixing may not have been completed yet.
The passive of my truncated sentence would be:
(The) Filming has just been finished (by them).
Let's restore the full noun phrase and remove the optional parts in parentheses:
Filming the new James Bond movie has just been finished.
You may find native speakers squeeze in a "of" after "filming", but this is optional here and doesn't change the meaning in anyway.
Filming of the new James Bond movie has just been finished.
The verb whose voice you are changing from active to passive is "to finish", not "to film", because "filming" is being used as a gerund in a noun phrase.