The present study examined possible short-term effects of the heat stress during sauna bathing on gas exchange, especially in correlation with changes in cardiac output. The results obtained are as follows: (1) The heat stress of sauna bathing caused a slight but not significant increase in diffusion capacity (p = 0.239) and no change in other pulmonary function parameters. (2) Cardiac output and cardiac index increased slightly but not significantly (p = 0.2455 and p = 0.2719). We conclude that heat stress in sauna neither influences gas exchange nor does it cause a significant increase in cardiac output.