Mostly you are on your own when it comes to that sort of thing. Some arent safe and some are just fine. There are all kinds of ways to get infections out in the wide world of internets and no 100% sure ways to avoid the bad stuff , but there are some things that can help:
1) Test in a virtual machine or Sandbox. Helps keep the rest of your system a bit safer
2) consider the source. Certain places have reputations for a reason. Your web browser can help with that sort of thing too, most have security settings that will alert you if a site or download has been reported as questionable. Your browser can't/won't catch everything - or even close- flagged sites are usually flagged for a reason though.
3) scan your download with your antiviral software. Sometimes it will catch what your browser misses.
4) inspect the files you have downloaded for odd extensions. A new set of icons should not contain an .dll or .exe (just a quick example) Be familiar with what you are doing and make sure that nothing is happening that shouldn't be.
5) Keep an eye on your firewall for suspicious activity. If you get new activity after installing a theme then you should be aware of that. Themes dont need to communicate with the network, so there should be no new activity
6) Even after doing all that you still risk infections... because reasons. I havd seen tutorials out there for making your own themes so with a little elbow grease you could have a DIY solution that is better than anything you can find with a search engine.
Having said all that, take a look at put "deviant art + Windows 10 themes" into your favorite search engine and see if there isnt something good there. I have seen some users be flagged there, but that seems to be just a few bad eggs. Good luck