Seaside saunas use the sea as the cold plunge. Most of the venues on this cut are wood-fired barrels or small cabins within a few metres of the tideline, and most of their regulars are year-round cold-water swimmers. January sea is a different animal from August sea, so check the season, not just the forecast, before committing.
In Australia, 10 of the curated saunas fit this cut. See the full Australia country guide for every venue, or keep scrolling for just the seaside saunas.
Every seaside sauna in Australia

Alchemy Sauna - City Beach
$City Beach, Australia
Finnish

Alchemy Sauna - Scarborough
$$Scarborough, Australia
Finnish

Deep Blue Bath House and Day Spa
$$Warrnambool, Australia
Infrared

Dunalley Bay Sauna
$$Murdunna, Australia
Finnish

Kuuma - Nature Sauna
$$$Barretta, Australia
FloatingFinnish

Phillip Island Sauna
$$Cowes, Australia
Finnish

Sauna Boat Tasmania
$$$Kettering, Australia
Finnish

Sauna to Sea
$$Prevelly, Australia
Finnish

Tank Bathhouse & Day Spa
$$Mooloolaba, Australia
FinnishSteam

Those Floating Saunas
$$Shellharbour, Australia
FinnishFloating