steam bath vs sauna

steam bath and sauna both are nouns.

Word	Noun	Adjective	Verb	Adverb
steam bath	Yes	No	No	No
sauna	Yes	No	No	No

As nouns, sauna is a hyponym of steam bath; that is, sauna is a word with a more specific, narrower meaning than steam bath:

steam bath: a room that can be filled with steam in which people bathe; `vapour bath' is a British term
sauna: a Finnish steam bath; steam is produced by pouring water over heated rocks

Other hyponyms of steam bath include sweat room, Turkish bath.

steam bath (noun)	sauna (noun)
you sweat in a steam room before getting a rubdown and cold shower	a Finnish steam bath; steam is produced by pouring water over heated rocks
a room that can be filled with steam in which people bathe; `vapour bath' is a British term