They do close to opposite things physiologically, which is why the order and the timing matter more than the choice. Heat has the better evidence for adaptation; cold has the better evidence for feeling fine tomorrow.
Treating these as two flavours of the same thing is the mistake. They push physiology in opposite directions, and the useful question is not which is better but which effect you actually want from this particular session.
What each one does
Heat raises core temperature, drives plasma volume expansion and improves the sweat response. Repeated exposure produces cardiovascular adaptations that carry into endurance performance. It is a training stimulus in its own right, which is why it does not fight the one you just did.
Cold constricts blood vessels, damps the inflammatory response and reduces perceived soreness. That suppression is exactly why it works on symptoms and exactly why it can interfere with adaptation.
Building strength or size. Sauna, or nothing. Keep cold well away from lifting sessions you want to grow from.
Building endurance. Sauna, and treat it as part of training rather than as recovery.
In a competition block or a tournament. Cold. Turning around fast is genuinely the goal and the adaptation cost does not matter this week.
Two sessions in one day. Cold between them, for the same reason.
Feeling wrecked and generally run down. Neither. Sleep. That is not a joke answer, it is the intervention with by far the largest effect, and the pattern worth checking first is in the signs of overtraining.
If you are doing both
Heat first, then cold, is the usual order and the more tolerable one. Keep the total sensible rather than heroic: 15 to 20 minutes of heat, a few minutes of cold.
The timing rule that matters is not the order of the two, it is their distance from a lifting session. If you want the adaptation from today’s training, put hours between the session and the cold.
Frequently asked questions
Should I do cold plunge or sauna?+
Sauna if the goal is endurance adaptation, because heat acclimation is the better-evidenced effect and it does not appear to blunt training gains. Cold if the goal is feeling recovered fast for a competition or a second session, accepting that it can reduce the hypertrophy from a recent lifting session.
Should I do sauna before or after a cold plunge?+
If you are doing both, heat first then cold is the common order and it is more pleasant. If you lifted recently and want the adaptation, keep the cold well away from the session or skip it, because that is where the interference sits.
Is contrast therapy better than either alone?+
The evidence for alternating hot and cold being superior to either alone is weak. It is popular because it feels dramatic. If you enjoy it, it is not harmful, but do not expect an effect larger than the parts.
Which is better for muscle soreness?+
Cold, clearly. Reduced perceived soreness is the most reliable effect cold water immersion has. Heat's evidence for soreness is considerably weaker.
Which is better for heart health?+
Sauna has the observational data behind it, from large Finnish cohorts linking frequent use to lower cardiovascular mortality. Cold has no comparable body of evidence, and the acute blood pressure response is a reason for caution rather than enthusiasm.