The Bose-Einstein condensates in a finite depth potential well provide an ideal platform to study the quantum escape dynamics. In this paper, the ground state, tunneling, and diffusion dynamics of the spin-orbit coupling (SOC) of Bose-Einstein condensates with two pseudospin components in a shallow trap are studied analytically and numerically. The phase transition between the plane-wave phase and zero-momentum phase of the ground state is obtained. Furthermore, the stability of the ground state is discussed, and the stability diagram in the parameter space is provided. The bound state (in which condensates are stably trapped in the potential well), the quasibound state (in which condensates tunnel through the well), and the unstable state (in which diffusion occurs) are revealed. We find that the finite depth potential well has an important effect on the phase transition of the ground state, and, interestingly, SOC can stabilize the system against the diffusion and manipulate the tunneling and diffusion dynamics. In particular, spatial anisotropic tunneling and diffusion dynamics of the two pseudospin components induced by SOC in quasibound and unstable states are observed. We provide an effective model and method to study and control the quantum tunneling and diffusion dynamics.