Unlike shops and many restaurants in Budapest, the famous thermal spa baths are open at Christmas in Budapest.
More details on Budapest Christmas:
the Bath opening hours at Christmas holidays in Budapest contain the opening hours on December 24, 25, 26, and also during New Year, Dec 31 and Jan 1. Not all baths are open every day, but the biggest and most popular baths (Szechenyi Bath and Gellert Bath are).
Happy holidays, Merry Christmas and Happy Hannukah in Budapest!