  In this work, we discuss the possibility to test Heavy Neutral Leptons (HNLs)
using $``$Cosmic Ray Beam Dump$"$ experiments. In analogy with terrestrial beam
dump experiments, where a beam first hits a target and is then absorbed by a
shield, we consider high-energy incident cosmic rays impinging on the Earth's
atmosphere and then the Earth's surface. We focus here on HNL production from
atmospherically produced kaon, pion and $D$-meson decays, and discuss the
possible explanation of the appearing Cherenkov showers observed by the SHALON
Cherenkov telescope and the ultra-high energy events detected by the neutrino
experiment ANITA. We show that these observations can not be explained with a
long-lived HNL, as the relevant parameter space is excluded by existing
constraints. Then we propose two new experimental setups that are inspired by
these experiments, namely a Cherenkov telescope pointing at the horizon and
shielded by the mountain cliff at Mount Thor, and a geostationary satellite
that observes part of the Sahara desert. We show that the Cherenkov telescope
at Mount Thor can probe currently untested HNL parameter space for masses below
the kaon mass. We also show that the geostationary satellite experiment can
significantly increase the HNL parameter space coverage in the whole mass range
from 10 MeV up to 2 GeV and test neutrino mixing $|U_{\alpha4}|^2$ down to
$10^{-11}$ for masses around 300 MeV.
