We aimed to investigate whether frequency of sauna bathing is associated with the levels of serum C-reactive protein. C-reactive protein is a leading blood marker of systemic inflammation. The study consisted of 2084 men (42–60 years) without acute or chronic inflammation. A total of 533 (25.6%), 1368 (65.6%), and 183 (8.8%) participants reported having a sauna bath once a week, 2–3 times, and 4–7 times per week; mean serum C-reactive protein levels were 2.41 (standard deviation 2.91), 2.00 (2.41), 1.65 (1.63) mmol/L, respectively. In a multivariable analysis adjusted for baseline age, body mass index, systolic blood pressure, smoking, type 2 diabetes, previous myocardial infarction, and serum low density lipoprotein cholesterol, alcohol consumption and physical activity, there was a significant inverse association between the frequency of sauna bathing and the level of C-reactive protein. Further studies are warranted to investigate the relationship between sauna bathing and systemic inflammation.