This uncontrolled intervention study explored the effects of sauna bathing utilizing residual heat from charcoal kilns (charcoal kiln saunas) on psychological states. Forty-five volunteers (24 males and 21 females; mean age 51.9 years (S.D. 15.7) visiting a bamboo charcoal kiln in Japan participated in the study. They completed a shortened version of the Profile of Mood States (POMS) and State-Trait Anxiety Inventory (STAI) before and after charcoal kiln sauna bathing in order to determine mood and anxiety states. Six factors relating to mood were measured using the POMS: Tension-Anxiety, Depression-Dejection, Anger-Hostility, Vigor, Fatigue, and Confusion. The two anxiety concepts of state anxiety and trait anxiety were also measured. Changes in psychological states before and after sauna bathing were then determined. All mood scales and both manifest anxiety measures were improved after sauna bathing. Charcoal kiln sauna bathing appears to improve mood and decrease anxiety. It is a limitation of this study that this was a descriptive prospective and an uncontrolled intervention study. Further investigation of the improvement of trait anxiety is required.