Inclusion Criteria:
* 18 years or older
* Able to read and speak in English
* Able to understand the nature of the study and able to provide written informed consent
* Current major depressive episode of at least 2 weeks duration as assessed by the Structured Clinical Interview for DSM-5 (SCID) and a Patient Health Questionnaire - 8 (PHQ-8) score of 10 or greater at screening
* Willing to use a form of pregnancy contraceptive (e.g., barrier methods such as condoms, oral contraception, or other birth control type) if assigned female sex at birth and premenopausal
* Able to lie supine for 2 hours in a sauna device
* Access to the internet via computer, smartphone, or tablet
Exclusion Criteria:
* \>30% reduction in BDI-II score between Screen #1 and Screen #2 (conducted \~1 week after Screen #1)
* Suicide attempt in the past 12 months defined using the SAMHSA suicidality question during the clinician-administered interview or active suicidal ideation as indexed by a score of 3 on the BDI-II suicidality item during the clinician-administered interview
* Any of the following medical conditions: cardiovascular disease (other than controlled hypertension), seizure disorder, history of cerebrovascular accident (CVA) or other serious neurological condition (e.g. Parkinson's disease, multiple sclerosis, or dementia), current neoplasia, any active enclosed infection (e.g. dental abscess, joint infection), hemophilia or other cause for excessive bleeding (e.g. platelet disorder), or other medical condition that in the opinion of investigators may increase the risk of WBH
* Comorbid psychiatric conditions or history of comorbid psychiatric conditions that might better explain depressive symptoms, including schizophrenia, schizoaffective disorder, Bipolar Disorder I, Obsessive Compulsive Disorder, Anorexia Nervosa, Bulimia Nervosa, Alcohol Dependence, or Drug Dependence
* Known hypersensitivity to hyperthermia and/or infrared exposure
* Inability to fit into the sauna device
* Breast implants
* Pregnancy, active lactation or intention to become pregnant during the study period
* Use of any medication that might impact thermoregulatory capacity, including: Diuretics, barbiturates, beta-blockers, antipsychotic agents, anti-cholinergic agents or chronic use of antihistamines, aspirin (other than low-dose ASA for prophylactic purposes), medication prescribed for the treatment of depression (antidepressant medication \[ADM\]) including but not limited to: selective serotonin reuptake inhibitors \[SSRIs\], Serotonin and norepinephrine reuptake inhibitors \[SNRIs\], Monoamine oxidase inhibitors \[MAOIs\], Tricyclics \[TCAs\], and atypical antipsychotic and antidepressant medications (participants must have been free of these medications for at least 4 weeks), antibiotics (past 14 days), pain medication (opioids) due to procedure, e.g., dental procedure (past 14 days), Emergency contraception pill (past 14 days), or any other medication that in the judgment of the PI would increase risk of study participation or introduce excessive variance into physiological or behavioral responses to WBH
* Recent use (multiple consecutive doses) of: non-steroidal anti-inflammatory drugs (NSAIDs), systemic corticosteroids, cytokine antagonists
* Regular use of any nicotine products, including cigarettes, vapes, chewing tobacco, or other forms of nicotine (if use is not regular, must be willing to refrain for 24 hours before and 24 hours after WBH session)
* Unwilling to refrain from using marijuana products and alcohol for the 24 hours before and 24 hours after WBH session
* Unwilling to refrain from heavy exercise on the day of WBH sessions
* Unwilling to refrain from engaging with sauna, hot yoga, cold plunges, cryotherapy, and hot tub/jacuzzi outside of study (prospective participant must not have engaged with any of these activities for 30 days prior to their baseline study visit).
* Has begun new psychotherapy treatment in the prior 6 weeks
