Netherlands suffered a heavy defeat to the Sri Lankans on the same day as South Africa's success after being bowled out for just 39 in Chittagong, but Steyn believes that the underdogs must be treated with respect.
"We lost our first match so we know that we have to win every game that we play. We can't be taking the Netherlands for granted despite what happened to them against Sri Lanka," the pace bowler told reporters.
"Sri Lanka have some good bowlers, it's difficult for the associates when they come up against quality teams like Sri Lanka."
Steyn took four wickets in the win over New Zealand.