Cutaneous circulation increases greatly in sauna in order to prevent body heating. Blood pressure tends to fall but this is prevented by increased cardiac output by means of faster heart rate and by decreased blood flow to the visceral organs. Cooling in cold air, shower, water or rolling in snow causes rapid cutaneous vasoconstriction, which leads to elevation of arterial blood pressure and increase of central venous blood volume. The effects of both heat and cold are mediated via the sympathetic nervous system. The circulatory responses to sauna are related to the intensity and duration of the heat exposure. An ordinary sauna bath increases cardiac workload about as much as moderate or vigorous walking. Habituation to sauna decreases the sympathetic stimulation and cardiovascular responses. Sudden cooling, for example diving in cold water, causes a severe transitory volume load and pressure load to the heart and increases the possibility of cardiac arrhythmias. The risk of cardiovascular complications in correctly practiced sauna bathing is very small and it is confined to subjects predisposed to the risk because of manifest or latent cardiovascular abnormalities.

Vuori I. Sauna bather’s circulation. Ann Clin Res. 1988;20(4):249-56. PMID: 3218896.