That's a good question... is the stuff you're talking about similar to the "pasteboard" used on the backs of typical "Walmart" style furniture, like TV cabinets, etc?? Sorta like pegboard maybe?? Or is it something different??
I'm not sure as to finishing... I'd tend to think that using Elmer's filler, sanding, priming, and painting would be the standard operation I'd do, but then I'm not speaking from experience with this material, so I'm not sure...
Maybe you'll have to experiment with this stuff and tell US what works and doesn't work...

OL JR
PS... WAY back in the day, Centuri offered several kits that used 'fiberboard' fins, which were essentially thick tagboard or pasteboard, almost like matteboard from Hobby Lobby. I had two--A "Buck Rogers" Starfighter and a "Draconian Marauder"... It was an interesting material to build with but not very tough-- it could fold or dent pretty easily and left a nasty crease afterwards...