Emerging evidence suggests that sauna bathing is associated with reduced risk of cardiovascular and all-cause mortality events. However, the biochemical pathways by which sauna bathing might confer its effects on cardiovascular function are not certain. We aimed to study the acute effects of Finnish sauna bathing on various blood-based cardiovascular biomarkers. The study included 102 non-naive sauna users (54% male) with mean age of 51.9 years, who had at least one cardiovascular risk factor. Participants underwent a 30-min single sauna session (mean temperature, 73 °C). Biochemical profiling was conducted before, immediately after sauna and 30-min post-sauna. Overall median N-terminal pro-B-type natriuretic peptide (NT-proBNP) level (n = 20 participants) was 46.0 ng/L before sauna exposure, which increased to 50.5 ng/l immediately after sauna (median change, + 12.00%; p < 0.001) and remained persistent at 30-min post-sauna (median change from pre-sauna to post-30-min sauna, + 13.93%; p < 0.001). The changes were more evident in males compared with females. There were no significant changes in overall levels of high sensitivity C-reactive protein, creatine kinase, high sensitivity troponin I, and creatine kinase-MBm. However, levels of creatine kinase increased in males (median change immediately after sauna, + 2.99%; p = 0.024). Levels of NT-proBNP increased after sauna exposure. The increase in levels of creatine kinase was more evident in males. Long-term interventional studies are warranted to evaluate if these biomarkers are involved in pathways underlying the associations of sauna bathing with cardiovascular outcomes.