It has been suggested that heat exposure prior to exercise could induce changes in anaerobic exercise. Therefore, the purpose of this study was to observe the effects of high temperature heat exposure prior to an anaerobic test. Twenty-one men (age: 19.76 ± 1.22 years; height: 1.69 ± 0.12 m; weight: 67.89 ± 11.78 kg) voluntarily participated in this investigation. All of them performed two Wingate tests, vertical jump and macronutrient intake control. On the first day, the test was performed under normal environmental conditions. On the second day, it was performed in a similar way, but with previous exposure to heat at high sauna temperatures (15 min; 100 ± 2 °C). There were no differences in the vertical jump and macronutrient intake. However, the results showed an improvement in power (W) (p < 0.05), relative power (W/kg) (p < 0.01) and revolutions per minute (p < 0.05) 10 s after the start of the test. There was also an increase in thigh (p < 0.01) and skin temperature (p < 0.01) with pre-heat exposure. The results obtained suggest that this pre-exercise protocol could improve power in short and intensive actions.