I don't wish to be disagreeable but that's not quite true. Most stepdown transformers are autotransformers (single winding with a centre-tap). If you overload them to failure, one end of the winding will go open-circuit, which will result in either no output voltage, or delivery of the full input voltage to the output, which means the magic smoke gets let out. Using grossly under-rated stepdown transformers can be quite hazardous to the load equipment.
Originally Posted by Steve Smith
It's not too bad for 240V->115V where the voltage ratio is about 2:1 and the current through each end of the winding is about equal (you have a 50:50 chance of catastrophic:harmless failure modes). For greater voltage ratios, the current ratio is no longer 1:1 and the catastrophic becomes the only likely failure mode. In those cases, isolated transformers are generally the only good option.