In this paper, we first consider the iterated skew polynomial ring $\mathscr{R}[z_1;τ_1,δ_{τ_1}]$\\$[z_2;τ_2,δ_{τ_2}]$, where $\mathscr{R}$ is a finite ring with unity. Then we use this structure for the construction of skew generalized polycyclic codes over the ring $\mathscr{R}$ and finite field $\mathbb{F}_q$, where $q=p^m$ for some positive integer $m$. Further, we derive the structure of the generator and parity check matrices for skew generalized polycyclic codes. Furthermore, we improve the Bose-Chaudhuri-Hocquenghem (BCH) lower bound for a minimum distance of skew generalized polycyclic codes with non-zero derivations over a finite field. Moreover, we find a sufficient condition for a code to be a maximum-distance-separable (MDS) code. In addition, we provide examples of MDS codes to show the importance of our results. A comparative summary of our work with other linear codes is also discussed.