Regular exercise and sauna bathing have each been shown to improve cardiovascular function in clinical populations. However, experimental data on the cardiovascular adaptations to regular exercise in conjunction with sauna bathing in the general population are lacking. Therefore, we compared the effects of exercise and sauna bathing to regular exercise using a multi-arm randomized controlled trial. Participants ( n = 47) aged 49 ± 9 with low physical activity levels and at least one traditional cardiovascular disease (CVD) risk factor were randomly assigned (1:1:1) to guideline-based regular exercise and 15-min postexercise sauna (EXS), guideline-based regular exercise (EXE), or control (CON) for 8 wk. The primary outcomes were blood pressure (BP) and cardiorespiratory fitness (CRF)_. Secondary outcomes included fat mass, total cholesterol levels, and arterial stiffness. EXE had a greater change in CRF (+6.2 mL/kg/min; 95% CI, +4.2 to +8.3 mL/kg/min) and fat mass but no differences in BP when compared with CON. EXS displayed greater change in CRF (+2.7 mL/kg/min; 95% CI, +0.2 to +5.3 mL/kg/min), lower systolic BP (−8.0 mmHg; 95% CI, −14.6 to −1.4 mmHg), and lower total cholesterol levels compared with EXE. Regular exercise improved CRF and body composition in sedentary adults with CVD risk factors. However, when combined with exercise, sauna bathing demonstrated a substantially supplementary effect on CRF, systolic BP, and total cholesterol levels. Sauna bathing is a valuable lifestyle tool that complements exercise for improving CRF and decreasing systolic BP. Future research should focus on the duration and frequency of exposure to ascertain the dose-response relationship.