Objective: Sauna bathing has been suggested to promote mental well-being and relaxation, but the evidence is uncertain with respect to mental disorders. We aimed to assess the association of frequency of sauna bathing with risk of psychosis in the Kuopio Ischemic Heart Disease prospective population-based study. Subjects and Methods: Baseline sauna bathing habits were assessed in 2,138 men aged 42–61 years who had no history of psychotic disorders. Participants were classified into three groups based on the frequency of sauna bathing (once, 2–3, and 4–7 times per week). Results: During a median follow-up of 24.9 years, 203 psychotic disorders were recorded. A total of 537, 1,417, and 184 participants reported having a sauna bath once a week, 2–3 times, and 4–7 times per week, respectively. In Cox regression analysis adjusted for age, compared to men who had 1 sauna session per week, the hazard ratio (95% confidence intervals) of psychosis for 4–7 sauna sessions per week was 0.23 (0.09–0.58). In a multivariable model adjusted for several risk factors and other potential confounders, the corresponding hazard ratio was 0.21 (0.08–0.52). The association was similar after further adjustment for total energy intake, socioeconomic status, physical activity, and C-reactive protein (0.22 [0.09–0.54]) and was unchanged on additional adjustment for duration of a sauna session and temperature of the sauna bath (0.23 [0.09–0.57]). Conclusion: Our study suggests a strong inverse and independent association between frequent sauna bathing and the future risk of psychotic disorders in a general male population.