Not necessarily. For example, I know RAR is a bit out of style, but WinRAR just this week had some articles about malware lurking in otherwise non-executable files

There is no such thing as 'safe' user-generated content, only a spectrum of more or less safe content.

Any media can contain exploits, for the most part if you stick to reputable uploaders you should do alright but it's essentially an unavoidable problem. Keep your media player up to date

It has to be executed to have any danger, so you'd need a zero day exploit for your media player, even then it should be contained at user level rather than system. I've not really heard of it happening, but it's theoretically possible I guess, would take a really bad coding mistake. Keep your players updated and you should be fine.

If it's for multimedia content, it's safe, I guess. I have been downloading movies and series from that page for 5 years, and I have never had any security problems.

There's no such thing as safe safe. While unlikely, even media/data files could contain exploits. They'd need to target specific issues in specific software, but that happens all the time.

WinRAR had a recent high publicity mistake earlier, where a "specially crafted" archive can make executables seem like other files so it's easy to accidentally run them. Big no.

I also recently saw an (old) exploit analysis: some Linux thing got wrecked specifically because of vulnerabilities in a media player/codec - in fact opening the folder was enough to trigger the exploit, which could give someone unrestricted access to your system. Very, very big no.

Back in the day, I think Windows Media Player had some idiotic license download thing that was also used as an attack vector.

Basically: executables are just a slam dunk malware delivery vector. Media files are safer in general but not safe.

Since it's a Linux box, you could try to sandbox your player with Firejail or a Flatpak + Flatseal. Just for a little bit of extra peace of mind.

The Pirate's Bay

I think you mean "The Pirate Bay"?

If you are a bit paranoid download it into a safe box and re-encode the file.

You can check justwatch.com to see if it's available anywhere for streaming or purchase. I dunno how they do it but they're amazing at tracking this sort of thing.