Verify the sauna is getting power if you have an electric version. The control panel should have a power light that shows electricity flowing to it. If there isn't power, check your breaker box to see if a fuse has blown.
Place a high-heat thermometer in the sauna to check the operating temperature. Sauna temperature is a matter of preference, with some Finnish models getting as hot as 190 degrees Fahrenheit. Check the specs for your particular model and then look at the thermometer after the sauna heats up to verify it is operating in the right range.
Insert a hygrometer into the sauna to test humidity levels. Steam saunas should have more air moisture than dry varieties. Compare the hygrometer reading to the recommended humidity levels for your sauna.