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:
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.