A recent article in the Mayo Clinic Proceedings extensively reviewed the medical literature about the health benefits of saunas. To quote the article abstract: 

Several observational and interventional studies suggest that regular or frequent sauna bathing reduces the incidence of vascular and nonvascular diseases, such as hypertension, cardiovascular disease, dementia, and respiratory conditions; may improve the severity of conditions such as musculoskeletal disorders, COVID-19, headache, and influenza; and increases the life span.

Most of the literature reviewed is specifically about Finnish sauna bathing; there are a lot of saunas in Finland, which makes it easier for researchers to conduct investigations there. Other types of saunas, such as infrared saunas, have not been studied as much.

However, all forms of saunas promote sweating, which may be a big part of the benefit. A 2011 article in the journal Archives of Environmental Contamination and Toxicology entitled “Blood, urine, and sweat (BUS) study: monitoring and elimination of bioaccumulated toxic elements” tested for about 120 compounds in blood, sweat and urine from 20 individuals (10 were healthy and another 10 had various health problems). They found that many toxic elements were excreted only in sweat.

Sweating helps our bodies get rid of unwanted chemicals, and saunas may have many additional benefits. If you have access to a sauna, I encourage its use.