Besides strength and balance, flexibility is an important indicator of health-related physical fitness. Thus, the aim of this two-armed randomized controlled pilot trial was to investigate whether sauna yoga at a moderate temperature (50 °C) beneficially affects flexibility, strength, balance, and quality of life (QOL) in healthy elderly community dwellers. Participants were randomly assigned to an intervention group (INT, n = 11, age: 68.7 ± 5.9) or control group (CON, n = 12, age: 69.3 ± 4.9), using the minimization method. Age, physical activity, gender, and the primary outcome flexibility were used as strata for group allocation. Both groups completed similar exercises in the sauna over eight weeks. Only the INT group was exposed to moderate temperatures of 50 °C. Large and statistically significant improvement in favor of the sauna group (INT) was observed for the chair sit-and-reach test (INT: +83%, CON +3%, p = 0.028, nр² = 0.24). The shoulder and lateral spine flexibility were not relevantly affected. Strength in the lower extremities merely showed a tendency to significant changes (INT: 16%, CON: 3%, p = 0.061, nр² = 0.181). Additionally, balance abilities, with eyes closed, improved (INT: 187%, CON +58%, p = 0.056, nр² = 0.189) in favor of the INT group. QOL only improved in favor of the INT for environmental dimension (INT: +7%, CON: 0%, p = 0.034, nр² = 0.227). These first but preliminary findings indicate that sauna yoga may serve as a promising and feasible means to improve flexibility in elderly people. Strength and balance do not meaningfully benefit from a sauna environment, although strength improved to a slightly higher extent in the sauna group. Future large-scale research is needed to elucidate underlying mechanisms and corroborate these findings.