Saunas are becoming increasingly popular worldwide, being an activity that promotes relaxation and health. Intense feelings of happiness have been reported shortly after enjoying a hot sauna and cold water, what is known in Japan as the "totonou" state. However, no research has investigated what occurs in the brain during the "totonou" state. In the present study, participants underwent a sauna phase, consisting of three sets of alternating hot sauna, cold water, and rest. We elucidated changes in brain activity and mood in the "totonou" state by measuring and comparing brain activity and emotional scales before and after the sauna phase and during the rest phase in each set. We found significant increases in theta and alpha power during rest and after the sauna phase compared to before the sauna phase. Moreover, in an auditory oddball task, the p300 amplitude decreased significantly and MMN amplitude increased significantly after the sauna phase. The increase in MMN indicates higher activation of the pre-attentional auditory process, leading to a decrease in attention-related brain activity P300. Hence, the brain reaches in a more efficient state. Further, the response time in behavioral tasks decreased significantly. In addition, the participants' subjective responses to the questionnaire showed significant changes in physical relaxation and other indicators after being in the sauna. Finally, we developed an artificial intelligence classifier, obtaining an average accuracy of brain state classification of 88.34%. The results have potential for future application.