In this paper, a characterisation is given of finite s-arc transitive Cayley graphs with s ≥ 2. In particular, it is shown that, for any given integer k with k ≥ 3 and k 6= 7, there exists a finite set (maybe empty) of s-transitive Cayley graphs with s ∈ {3, 4, 5, 7} such that all s-transitive Cayley graphs of valency k are their normal covers. This indicates that s-arc transitive Cayley graphs...