Organizers say that his Finnish rival was rushed to a hospital. Spokesman Ossi Arvela says on a website that the annual contest was suspended and police were investigating Saturday's incident in the southern town of Heinola.
The circumstances of the death were not immediately known but Arvela says "all rules were followed." Contestants must submit a medical certificate before competing.
The Finnish news agency STT said both middle-aged men were seen to have severe burns on their bodies and were given first aid after they collapsed.
Competition rules require the sauna to be heated to 230 degrees Fahrenheit with half a pint of water added to the stove every 30 seconds.
The last person to remain at the sauna is the winner.
Saturday's contest had over 130 participants from 15 countries. It has been held since 1999.