Inclusion Criteria:  Age of at least 18 years old. Current major depressive episode of at least 4 weeks duration as assessed by the Structured Clinical Interview for the Diagnostic and Statistical Manual of Mental Disorders, Fifth Edition (SCID) and a Beck Depression Inventory-II (BDI-II) score > 21 at screening Waist size less than or equal to 40 inches for men or 35 inches for women and a BMI less than or equal to 35 Able to understand the nature of the study and able to provide written informed consent prior to conduct of any study procedures Must have smartphone onto which they can download an app from Apple App or Google Play stores Ability to lie supine (on back) for 2 hours (required for sauna sessions) Must be fully vaccinated against COVID-19  Exclusion Criteria:  >30% reduction in BDI-II score between Screen #1 and Screen #2 (conducted ~1 week after Screen #1) Suicide attempt within the prior 12 months and/or active current suicidal ideation defined using the Substance Abuse and Mental Health Services Administration suicidality questions during the clinician-administered interview Any of the following medical conditions: cardiovascular disease (other than controlled hypertension), seizure disorder, history of cerebrovascular accident (CVA) or other serious neurological condition (e.g. Parkinson's disease, multiple sclerosis, or dementia), current neoplasia, any active enclosed infection (e.g. dental abscess, joint infection), hemophilia or other cause for excessive bleeding (e.g. platelet disorder), or other medical condition that in the opinion of investigators may increase the risk of WBH Comorbid psychiatric conditions or history of comorbid psychiatric conditions that might better explain depressive symptoms, including schizophrenia, schizoaffective disorder, Bipolar Disorder I, Obsessive Compulsive Disorder, Anorexia Nervosa, Bulimia Nervosa, Alcohol Dependence, or Drug Dependence Known hypersensitivity to hyperthermia and/or infrared exposure Inability to fit into the sauna device Breast implants Pregnancy, active lactation or intention to become pregnant during the study period Use of any medication that might impact thermoregulatory capacity, including: diuretics, barbiturates, beta-blockers, antipsychotic agents, anti-cholinergic agents or chronic use of antihistamines, aspirin (other than low-dose aspirin for prophylactic purposes), medication prescribed for the treatment of depression (antidepressant medication including but not limited to: selective serotonin reuptake inhibitors, Serotonin and norepinephrine reuptake inhibitors , Monoamine oxidase inhibitors, Tricyclics, and atypical antipsychotic and antidepressant medications (participants must have been free of these medications for at least 4 weeks), antibiotics (past 14 days), pain medication (opioids) due to procedure, e.g., dental procedure (past 14 days), Emergency contraception pill (past 14 days), any other medication that in the judgment of the PI would increase risk of study participation or introduce excessive variance into physiological or behavioral responses to WBH, recent use (multiple consecutive doses) of: non-steroidal anti-inflammatory drugs, systemic corticosteroids, cytokine antagonists Regular use of any nicotine products, including cigarettes, vapes, chewing tobacco, or other forms of nicotine (if use is not regular, must be willing to refrain for 24 hours before and 24 hours after WBH session) Unwilling to refrain from using marijuana products and alcohol for the 24 hours before and 24 hours after WBH session Unwilling to refrain from heavy exercise on the day of WBH sessions Unwilling to refrain from sauna use outside of study procedures during study participation Has begun new psychotherapy treatment in the prior 6 weeks