The interrelationship between the non-Markovian stochastic Schrodinger equations and the corresponding non-Markovian master equations is investigated in the finite-temperature regimes. We show that the general finite-temperature non-Markovian trajectories can be used to derive the corresponding non-Markovian master equations. A simple, yet important solvable example is the well-known damped harmonic oscillator model in which a harmonic oscillator is coupled to a finite-temperature reservoir in the rotating-wave approximation. The exact convolutionless master equation for the damped harmonic oscillator is obtained by averaging the quantum trajectories, relying upon no assumption of coupling strength or time scale. The master equation derived in this way automatically preserves the positivity, Hermiticity, and unity.
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