The influence of a series of ten sauna baths (MPHA) on thermophysiological and selected hematological responses in 14 elite cross-country skiers to a submaximal endurance exercise test performed under thermoneutral environmental conditions was studied. Thermal and physiological variables were measured before and after the exercise test, whereas selected hematological indices were studied before, immediately after, and during recovery after a run, before (T1) and after sauna baths (T2). MPHA did not influence the baseline internal, body, and skin temperatures. There was a decrease in the resting heart rate (HR: p = 0.001) and physiological strain (PSI: p = 0.052) after MPHA and a significant effect of MPHA on systolic blood pressure (p = 0.03), hematological indices, and an exercise effect but no combined effect of treatments and exercise on the tested variables. A positive correlation was reported between PSI and total protein (%ΔTP) in T2 and a negative between plasma volume (%ΔPV) and mean red cellular volume (%ΔMCV) in T1 and T2 in response to exercise and a positive one during recovery. This may suggest that MPHA has a weak influence on body temperatures but causes a moderate decrease in PSI and modifications of plasma volume restoration in response to exercise under temperate conditions in elite athletes.