Neighbours said the sauna in Harehills had been the target of earlier attacks. The most recent involved wood being placed against the outside of the building and an attempt to set light to it.
Police and fire crews were called to the Spartan Mantalk Sauna housed in an end terrace property in Bexley Mount at the junction with Bayswater Road, Harehills, at about 3.45am today and rescued a woman - believed to be the only person inside - but police later confirmed she had died.
One man living close to the premises on Bexley Mount described hearing a bang at the door of the premises and a car screeching away shortly before 4am.
The 41-year-old said he was woken at around 2.45am by several loud bangs.
He said: "I heard the noise when it was started. I heard the bangs and heard a car screeching off. I think they kicked the door in. I thought it was someone breaking into a car and I went back to bed. Next thing I heard someone was banging on the door and I looked out of my window and could see the house opposite was all lit up with flames. It was really going at that point."
Photos
The man said residents on the street poured out of their homes to see what was going on. "I was taking some photos and my neighbour said: 'I think there's someone upstairs'. And I went and told the firemen."
The smell of smoke and burning plastic had spread to his home.
Local newsagent Vishav Prabhakar, said he knew the women who worked there as they came into the shop several times a day. He said: "When I heard that someone died in that building I found it very strange. As far as I know nobody has lived in that building for the last 30 years."
He said around five women worked there from early in the morning until around 1am.
"I'm 99.9 per cent certain nobody stays in that place. It's very strange that someone is there at that time."
Suspicious
He said he thought the business had around 40 customers a day and it had been targeted by armed robbers several years ago because of the amount of money made there.
The detective leading the investigation said that there was no suggestion of incendiary devices being thrown at the premises, but the cause of the fire was believed to be suspicious.
The woman has not been formally identified.
Today the police inquiry was being headed by Det Supt Bill Shackleton of the West Yorkshire Police Homicide and Major Inquiry Unit (HMET) who was at the scene of the fatal fire along with Fire Service investigators.
A large police cordon was thrown around the area and Bayswater Road was shut between Harehills Road and Roseville Road.
According to Internet listings, Spartan Mantalk opens 24 hours a day and its facilities are said to include a sauna box steam cabin and a "jacuzzi public rest room".
A firefighter who helped tackle the blaze said: "We were told it was a house fire. When we turned up we found it was these premises.
Bystanders
"It was well alight on the first floor. Our initial action was to put in breathing apparatus and hose reels for an initial attack on the fire.
"We had done a check with bystanders regarding if anyone was known to be inside the property. At that time we did not know. We then discovered a person in the property, who was brought out and handed over to paramedics."

West Yorkshire Police