The Messenger of Allah ﷺ said, "Whoever believes in Allah and the Last Day must not enter the bathhouse without a wrap. Whoever believes in Allah and the Last Day must not let his wife enter the bathhouse. Whoever believes in Allah and the Last Day must not sit at a table where wine is being drunk. And whoever believes in Allah and the Last Day must not be alone with a woman who has no Muharram relative with her, for the third of them is Satan."
حدثنا يحيى بن إسحاق أخبرنا ابن لهيعة عن أبي الزبير
قال رسول الله ﷺ من كان يؤمن بالله واليوم الآخر فلا يدخل الحمام إلا بمئزر ومن كان يؤمن بالله واليوم الآخر فلا يدخل حليلته الحمام ومن كان يؤمن بالله واليوم الآخر فلا يقعد على مائدة يشرب عليها الخمر ومن كان يؤمن بالله واليوم الآخر فلا يخلون بامرأة ليس معها ذو محرم منها فإن ثالثهما الشيطان
Its chain of transmission is hasan. Tirmidhi narrated the hadith in parts, 5/104, no. 2801, in the chapter on Manners, on what has been said about entering the bathhouse, and he said, hasan gharib. Nasai also narrated it, 1/198, no. 401, in the chapter on ghusl, on the permission to enter the bathhouse. And Hakim, 4/288.