The ‘Gypsy King’ revealed how he got the better of Dr Steelhammer by lasting longer than his rival in a baking hot sauna.
The WBC and Ring unified world champion said the whole thing happened when he was invited to the Ukrainian’s training camp in Austria.
Fury, 33, shared the hilarious story in his bestselling autobiography ‘Behind the Mask’, which was first published by Century in 2019.
He wrote: “About twenty of us (and my cousin Andy can verify this) went down to the sauna and an old American trainer who worked with Wladimir said to me, ‘You know Wladimir is the Sauna King, so show some respect. He likes to leave last after everybody else has gone.’
“Well, that was music to my ears because nobody loves a challenge more than me and I knew it was a perfect moment to wind up big Wlad.
“So we go in, I’m as fat as a pig and it’s the hottest sauna that I’ve ever experienced, with a big fire in the middle of it.
“We’re all there naked and they give you this stuff that looks like chocolate sauce to pour over yourself.
“One by one they all get out, to the point where it’s just me and Wladimir sitting there.
“We were only meant to be in there for twenty minutes but then he gets up and turns the clock back to go for another twenty minutes and I’m thinking, ‘I’m going to die here’. But I wasn’t going to let him beat me.
“I thought, ‘If I pass out, they can throw some water on me and I’ll be alright.’ So I count down the time in my head to keep me focused and then five minutes later Wladimir gets up and walks out in a huff.
“I thought, great, and stayed in for another ten minutes and when I came out I nearly fainted.
“The old American trainer who had I had spoken to before I went in was still there and he said to me, ‘What did you say to Wladimir?’
“I looked at him, took in a gulp of air and said, ‘Now I’m the Sauna King’.
“That’s how I knew I would beat Wladimir; he knew that I wouldn’t give in to him. Throughout all his camps he would stare at sparring partners, looking to intimidate them.
“He was big into psychology because he knew there was a good chance they would be beaten before the first bell would ring because they would have demons in their head from what had happened in the training camps with him. But he couldn’t do that to me.
“He would stare at me in the gym and I’d shout across, ‘Have you got a problem?’
“I could see that his weakness was that he need to be in control of everything. We both left that training camp knowing he couldn’t intimidate me.
“And we both knew the same thing five years later when the moment finally came to fight for his world titles at the Esprit Arena in Dusseldorf in 2015.”
Fury is currently preparing to make the second consecutive defence of his belts against Dillian Whyte at Wembley Stadium on April 23.
Klitschko, meanwhile, has taken up arms alongside his brother, Vitali, to fight against Russia’s invasion of Ukraine.