The origins of sauna are found at the time of the Great transmigration of peoples, when nomads from Central Asia came to Eastern Europe - modern day Slovakia, Hungary, Lithuania, Estonia and the land of Suomi, or Finland. Until the 16th century, sauna was not known outside Finland, but in this country it was a vital part of people's lives. In year 1500, a traveler to Finland wrote in a private letter, that "nowhere in the world hot-air rooms are as crucial for living as in Northern countries". Sauna soon became popular in other Scandinavian countries.

By the beginning of the 18th century Swedish sauna or Bantu became a part of traditional Christmas celebration. But soon after that was almost completely banned in Sweden and Norway due to some ill-conceived,misguided medical information Swedish doctors were sharing.

For Finns, sauna never went out of style as it was not simple bathing but an important communal ritual that helped strengthen ties between people and provided much needed distraction from the harsh climate. It was also regarded as an important family tradition. Famous Finnish epic poem "Kalevala" gives a detailed description of a young bride's duties in relation to sauna: "From thy bath, when thou returnest, To his bathing tempt the father, Speak to him the words that follow: 'Father of my hero-husband, Clean are all the bathroom benches, Everything in perfect order; Go and bathe for thine enjoyment, Pour the water all-sufficient, I will lend thee needed service.'' (Kalevala, Rune XXIII)

The communal spirit of sauna didn't end on the family level. When one of the Finnish villagers heated up a sauna, as a rule he would always come to his closest neighbors and invite them over for bathing. Sauna was also a place of medical importance, and would quite often host a surgeon and pharmacist. Old Finnish proverb says that "Sauna is a pharmacy for a poor man". Another old Finnish saying is quite illustrative of the value given to sauna: "Behave in a sauna as if you are in church". This link between religion and bathing goes even further.

When Christianity was introduced to FInland, the Virgin Mary herself became considered a protector of people in sauna. In the beginning of 20th century, Finnish sauna started to regain its popularity in Europe. In 1920s the Norwegian Medical Association has published a report that called sauna an effective treatment against many chronic diseases. In 1926, almost two hundred public saunas were constructed in Norway, and by 1944 there were already thousands of them, some sponsored by Royal Treasury.