To a large extent it depends on what you are downloading and what you are doing with it after it is downloaded. If you download a Word document (or any other advanced text editing format/document) it could deanonymize you after you open it, because such documents can have hotlinked pictures embedded in them. So you download the document via Tor and then open it up in an application that is not set to go through Tor, and it loads the hotlinked image directly without going through Tor. That is the reason why it is not safe to open arbitrary things that you have downloaded through Tor unless you take precautions against such things happening (like opening the document in a virtual machine without networking enabled). Different files carry different risks, lots of document formats can have issues like this including .pdf, certain video files could try to load a certain codec or otherwise phone home as well also depending on the video player you run them in. For the most part pictures are safe to download and open through Tor without having to worry about things like this, although it never hurts to see if the image editing program you are using is even network capable. Amazingly these days almost every damn thing can connect to the internet, even stuff that I would think has next to no place in being networking enabled. The biggest risk comes from feature rich documents and videos though, images and simple .txt files generally cannot do this sort of thing.