Anecdotal shit that should be ignored: I found the dry sauna helpful (temperature at over 190 degrees).
A 2016 study published in JAMA, found that a single whole-body hyperthermia produced a significant antidepressant effect in people with major depressive disorder compared to control.
https://www.ncbi.nlm.nih.gov/pubmed/27172277Inflammation is higher in depressed individuals, even controlling for other factors. Studies where subjects were injected with pro-inflammatory cytokines have been shown to cause depressive symptoms. A burst of inflammation through exercise or whole-body hyperthermia decreases chronic inflammation, thus possibly decreasing symptoms of depression.
Sauna also increases BDNF (brain-derived neurotrophic factor) production, which is also linked with depression. Some people believe that the anti-depressant effects of drugs comes from their ability to raise BDNF.
https://www.ncbi.nlm.nih.gov/pubmed/26519901