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When Smoke Sauna Sisterhood opens, in deep winter, the forest scene might be something by Currier & Ives: a snow-frosted cabin surrounded by tall trees, the aesthetic perfection approaching kitsch. But there’s also the ferocity on the face of Kadi Kivilo, captured in tight close-up, as she hacks away at the surface of a frozen lake. Spending time through the seasons with Kivilo and the other women who share a remote sauna with her — and take turns immersing themselves in the natural plunge pool she’s carved out — Anna Hints’ documentary strikes a bold balance between intense intimacy and respectful distance.

At the heart of the handsome film is a living tradition, the smoke sauna of Estonia’s Vana-Võromaa region, a custom that’s been recognized by Unesco as an intangible cultural heritage. The sauna is “a sacred place where you cleanse yourself,” as the eldest woman in the film describes it.

The smoke sauna practices of southern Estonia will likely be unfamiliar to most viewers entering the cloistered world of Anna Hints’s Smoke Sauna Sisterhood, and it’s to the film’s credit that any pedagogy it does offer comes only in allusive, piecemeal ways. Some research will reveal that there’s a metaphysical dimension that separates the Estonian spa tradition from that of other cultures, but Hints’s documentary is in no hurry to dispel secrets.

Throughout the immersive Smoke Sauna Sisterhood, Hints centers the experiential qualities of women gathering in a smoke sauna deep in the woods over what appears to be a year of screen time. It focuses particularly on therapeutic sessions of soul-baring conversation undertaken at length in blistering heat. Such epiphanies are the implied intent of the Estonian nature spas, and Hints’s candid presentation of these moments is testament to both her technical commitment...