Umar bin al-Khattab (may Allah be pleased with him) wrote a letter to Abu Ubaydah bin al-Jarrah (may Allah be pleased with him): After praise and glorification! It has reached me that Muslim women bathe in the bathhouses with the women of the idolaters. Forbid them from that, for it is not lawful for a woman who believes in Allah and the Last Day that her private parts be seen by anyone except a woman of her own religion (millah).
Hadith Referenceالسنن الكبرى للبيهقي / كتاب النكاح / 13543