Short read
Kay-Uwe Hanusch, Charles Raison and colleagues at the University of Arizona published this open pilot study in the American Journal of Psychiatry in 2013. 16 adults with diagnosed major depression received a single session of whole-body hyperthermia. The treatment used a medical infrared hyperthermia device, not a sauna. There was no control group and no placebo or sham condition.
After the single session, depressive symptoms were reduced compared with the same participants' scores before treatment. The authors tested the thermoregulatory hypothesis of depression, the idea that people with depression cool down less effectively, and described an association between the improvement and the capacity for thermoregulatory cooling.
Without a sham or placebo condition, the study cannot separate an effect of the heat from the non-specific circumstances of receiving an intervention. The sample was very small. That gap is exactly what later, controlled research set out to close.
The paper matters historically as the starting point of research on heat and depression. It is background, not evidence: it does not show that heat treats depression, it cannot be transferred to a sauna, and it offers no reason to change or replace an existing treatment.