There’s no right answer to this one. Both come from a long tradition that values therapeutic effects of heat, and the benefits of both are quite similar.
A sauna encourages sweating using a bath of dry air at temperatures from 50° to 80/90° in a wooden environment inside which the humidity is very low.
A steam bath operates at much lower temperatures (40°-45°) with very high humidity inside the cubicle to encourage sweating and fluid exchange in what is essentially a bath of damp air. Users of these natural body-care systems are free to decide which of the two experiences they find the more convenient and enjoyable