It’s been six years(2013) since my earlier review on Infrared Sauna and autoimmune conditions. As stated earlier, it is my hypothesis that this alters the microbiome — how, has still to be reported. It kicks start changes whose benefit appears not the same day, but in the week following.
The following additional studies have come out:
Perceived fatigue significantly decreased after therapy, although no significant reductions were observed during therapy. In addition, a negative mood, including anxiety, depression and fatigue, and the performance status significantly improved after therapy. However, the levels of pain and vigor did not change significantly. No patients reported any adverse effects during the therapy.Effects of Waon therapy on chronic fatigue syndrome: a pilot study. 
- [The influence of general infrared sauna on the antioxidant systems in the blood of volunteers]. 
- It was shown that the effect of high temperatures promotes the development of oxidative stress that is followed by the formation of adaptive reactions in the form of activation of antioxidant protection, enhancement of non-specific responses of the cells, increase of stability and restoration of structural homeostasis of erythrocyte membranes.
- Waon therapy improves quality of life as well as cardiac function and exercise capacity in patients with chronic heart failure. 
- Mental QOL improved independently of WT-induced improvement of cardiac function and exercise capacity.
- Effects of far-infrared sauna bathing on recovery from strength and endurance training sessions in men.
- Effects of sauna bath on heart failure: A systematic review and meta-analysis. 
- exposure to an infrared sauna bath in 60°C for 15 minutes, followed by a 30-minute rest in warm environment, five times a week for 2 to 4 weeks, was associated with a significant reduction in B-type natriuretic peptide, cardiothoracic ratio, and an improvement in left-ventricular ejection fraction.
I continue to still use my infrared sauna at least once a week (and likely should do more often). The evidence suggests that it does help with CFS, and potentially may reduce brain fog.