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We present an experimental study of cavity assisted Rydberg atom electromagnetically induced transparency (EIT) using a high-finesse optical cavity ($F \sim 28000$). Rydberg atoms are excited via a two-photon transition in a ladder-type EIT configuration. A three-peak structure of the cavity transmission spectrum is observed when Rydberg EIT is generated inside the cavity. The two symmetrically spaced side peaks are caused by bright-state polaritons, while the central peak corresponds to a dark-state polariton. Anti-crossing phenomenon and the effects of mirror adsorbate electric fields are studied under different experimental conditions. We determine a lower bound on the coherence time for the system of $7.26 \pm 0.06 \,\mu$s, most likely limited by laser dephasing. The cavity-Rydberg EIT system can be useful for single photon generation using the Rydberg blockade effect, studying many-body physics, and generating novel quantum states amongst many other applications.