Various types of massages are reported to relieve stress, pain, and anxiety which are beneficial for rehabilitation; however, more comprehensive studies are needed to understand the mechanism of massage therapy. In this study, we investigated the effect of massage therapy, alone or in combination with infrared heating, on 3 different aspects: physical, physiological, and psychological. Twenty-eight healthy university students were subjected to 3 different treatment conditions on separate days, one condition per day: control, massage only, or massage with infrared heating. Physical (trunk extension [TE]; maximum power of erector spinae), physiological (heart-rate variability [HRV]; electroencephalogram [EEG]), and psychological (state-trait anxiety inventory [STAI]; visual analogue scale [VAS]) measurements were evaluated and recorded before and after each treatment condition. The results showed that massage therapy, especially when combined with infrared heating, significantly improved physical functioning, increased parasympathetic response, and decreased psychological stress and anxiety. In the current study, we observed that massage therapy contributes to various physical, physiological, and psychological changes, where the effect increases with thermotherapy.