The naked bodies of the men showed signs of severe scalding, a fire department spokesman said, though this did not appear to be the cause of death.
The men were drunk and appeared to have fallen unconsciousness, a Hamburg police statement said. The wife of one of the men discovered the bodies.
Saunas that are gas-heated are at risk of leaking deadly carbon monoxide gas and require a special monitor to measure the gas levels. It was not clear whether the homemade sauna was equipped with such a register.
The Institute for Forensic Medicine in Hamburg is due to examine the bodies, though the police statement said there were no signs of foul play.
There have been several deaths in Germany in recent years related to saunas, usually because the heat source has sparked a house fire.