Sauna bathing, an activity that has been a tradition in Finland for thousands of years and mainly used for the purposes of pleasure and relaxation, is becoming increasingly popular in many other populations. Emerging evidence suggests that beyond its use for pleasure, sauna bathing may be linked to several health benefits, which include reduction in the risk of vascular diseases such as high blood pressure, cardiovascular disease, and neurocognitive diseases; nonvascular conditions such as pulmonary diseases; mortality; as well as amelioration of conditions such as arthritis, headache, and flu. The beneficial effects of sauna bathing on these outcomes have been linked to its effect on circulatory, cardiovascular, and immune functions. It has been postulated that regular sauna bathing may improve cardiovascular function via improved endothelium-dependent dilatation, reduced arterial stiffness, modulation of the autonomic nervous system, beneficial changes in circulating lipid profiles, and lowering of systemic blood pressure. This review summarizes the available epidemiological, experimental, and interventional evidence linking Finnish sauna bathing and its effects on cardiovascular outcomes and other disease conditions on the basis of a comprehensive search for observational studies, randomized controlled trials, and non–randomized controlled trials from MEDLINE and EMBASE from their inception until February 24, 2018. An overview of the postulated biological mechanisms underlying the associations between sauna bathing and its health benefits, areas of outstanding uncertainty, and implications for clinical practice is also provided.