Background The purpose of this study was to investigate the effect of sex on the efficacy of intermittent post-exercise sauna bathing to induce heat acclimation and improve markers of temperate exercise performance in trained athletes. Methods Twenty-six trained runners (16 female; mean ± SD, age 19 ± 1 years, V̇O2max F: 52.6 ± 6.9 mL⋅kg−1⋅min−1, M: 64.6 ± 2.4 mL⋅kg−1⋅min−1) performed a running heat tolerance test (30 min, 9 km⋅h−1/2% gradient, 40 °C/40%RH; HTT) and temperate (18 °C) exercise tests (maximal aerobic capacity [V̇O2max] and lactate profile) pre and post 3 weeks of normal exercise training plus 29 ± 1 min post-exercise sauna bathing (101–108 °C) 3 ± 1 times per week. Results Females and males exhibited similar reductions (interactions p > 0.05) in peak rectal temperature (− 0.3 °C; p < 0.001), skin temperature (− 0.9 °C; p < 0.001) and heart rate (− 9 beats·min−1; p = 0.001) during the HTT at post- vs pre-intervention. Only females exhibited an increase in active sweat glands on the forearm (measured via modified iodine technique; F: + 57%, p < 0.001; M: + 1%, p = 0.47). Conversely, only males increased forearm blood flow (measured via venous occlusion plethysmography; F: + 31%, p = 0.61; M: + 123%; p < 0.001). Females and males showed similar (interactions p > 0.05) improvements in V̇O2max (+ 5%; p = 0.02) and running speed at 4 mmol·L−1 blood lactate concentration (+ 0.4 km·h−1; p = 0.001). Conclusions Three weeks of post-exercise sauna bathing effectively induces heat acclimation in females and males, though possibly amid different thermoeffector adaptations. Post-exercise sauna bathing is also an effective ergogenic aid for both sexes.