Two finalists, Vladimir Ladyzhensky of Russia and Timo Kaukonen of Finland, collapsed after 6 minutes in the sauna and were rushed to a hospital where Ladyzhensky later died, the BBC reported Saturday.
In the competition, held in Heinola 86 miles north of Helsinki, participants had to endure heat of 230 F for as long as possible.
Police have begun an investigation, competition organizer Ossi Arvela said.
"All the rules were followed and there was enough first aid personnel," Arvela said. "All the competitors needed to sign in to the competition with a doctor's certificate."
Kaukonen, who won the competition last year, was being treated in a hospital in the city of Lahti, authorities said.