Environmental stress such as extremely warm or cold temperature is often considered a challenge to human health and body homeostasis. However, the human body can adapt relatively well to heat and cold environments, and recent studies have also elucidated that particularly heat stress might be even highly beneficial for human health. Consequently, the aim of the present brief review is first to discuss general cardiovascular and other responses to acute heat stress, followed by a review of beneficial effects of Finnish sauna bathing on general and cardiovascular health and mortality as well as dementia and Alzheimer's disease risk. Plausible mechanisms included are improved endothelial and microvascular function, reduced blood pressure and arterial stiffness, and possibly increased angiogenesis in humans, which are likely to mediate the health benefits of sauna bathing. In addition to heat exposure with physiological adaptations, cold stress-induced physiological responses and brown fat activation on health are also discussed. This is important to take into consideration, as sauna bathing is frequently associated with cooling periods in cold(er) environments, but their combination remains poorly investigated. We finally propose, therefore, that possible additive effects of heat- and cold-stress-induced adaptations and effects on health would be worthy of further investigation.