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Just two cents on "downloading". System setup and programs are basically all from your distro's package manager with sometimes a couple of things from GitHub if you have particular needs.
For the rest of stuff (media / files / more) there is no windows defender and I don't personally try to chase down antivirus. You can totally get malicious stuff out there so maybe don't click pop ups and download everything the pirate bay has to offer, but security is more baked into the Linux permission structure and user space. Find a guide and do it "the Linux way" if you decide you need to go set up deluge or transmission with a private tracker to get some Linux ISOs for personal use.
Some people do a lot of sweating over the security of the system, but I would generally say if you need that... you'll know it. Sure a VPN is a good idea (I don't use one for anything), good permissions are important (I don't play the immutable OS game), and encryption may have a place for you (or maybe not, not everyone needs a luks filesystem system encrypted at rest); but you're making a setup that you can use / prefer to use. Make your own call, basically anything on the beaten track is safe enough and sane enough.