Heat exposure after exercise may enhance recovery of physical performance but can also impose additional physiological stress on athletes. This study investigated the effects of post-exercise infrared sauna (IRS) on adrenal and autonomic nervous system (ANS) responses and examined how these responses adapt over time during a 6-week training intervention. Forty female team-sport athletes were pair-matched into an IRS-group and a control group (CON). Participants completed jumping exercises followed by IRS (10 min, 50 °C) or passive recovery and physiological assessments during two experimental trials: in the first (EX1) and in the last (EX2) week of the training intervention. The ANS responses were assessed by nocturnal heart rate (HR) and heart rate variability recorded before and after exercise session. Saliva cortisol concentrations, muscle soreness, and perceived recovery were assessed in the morning, before and after the exercise sessions. Cortisol increased by 5.1 ± 8.6 nmol/l the morning after EX1 in the IRS-group (p = 0.017), but not in the CON-group. Furthermore, a greater pre-post change in cortisol concentration was observed following EX1 (4.6 ± 10.4 nmol/l) compared to EX2 (−1.8 ± 7.6 nmol/l). The IRS-group showed a higher post-session HR in EX1 compared to the CON-group (61 ± 8 bpm vs. 55 ± 6 bpm; p = 0.019). Increased muscle soreness was observed at EX1 post36h only in the CON-group. Post-exercise IRS initially elevated physiological stress responses in female athletes. After six weeks of regular IRS use, athletes’ ANS balance and cortisol response adapted, suggesting effective physiological adjustment to the heat intervention within six weeks.