This 2015 study on sauna use seems to point to something going on. There's a lot of speculation about whether heat shock proteins play a similar role in both hyperthermic conditioning and exercise (perhaps a form of hyperthermic conditioning in its own right). Scientists sometimes refer to sauna as "exercise mimicking".
> For all-cause mortality, sauna bathing 2 to 3 times per week was associated with a 24 percent lower risk and 4 to 7 times per week with a 40 percent reduction in risk compared to only one sauna session per week.
I got the reference from Rhonda Patrick who did a summary of this any other research here:
It's a good question. I've seen some studies that show better recovery from exercise if it is followed by a steam or sauna. I don't think we know enough to determine what the dose-response curve looks like.
Related: the science is far from complete on cold exposure, but cryotherapy (cold air or ice baths) seems to enhance recovery for endurance training, but it strangely reduces progress in strength training, at
least if it is done immediately following exercise. There is speculation that cold exposure reduces the post-exercise inflammation response enough to limit the body's repair response. This might not be the case if you do cold exposure outside of the post-exercise window (but this hasn't been studied afaik). Once again all credit to Rhonda Patrick who covers this in one of her videos on cryotherapy.
https://www.sciencedaily.com/releases/2015/02/150223122602.h...
> For all-cause mortality, sauna bathing 2 to 3 times per week was associated with a 24 percent lower risk and 4 to 7 times per week with a 40 percent reduction in risk compared to only one sauna session per week.
I got the reference from Rhonda Patrick who did a summary of this any other research here:
https://www.youtube.com/watch?v=eWKBsh7YTXQ
A combination of exercise and heat-stress is almost certainly best, but there is probably significant overlap in effect.