South Africa are among the favourites to win the quadrennial tournament but bring the dreaded "choker" tag after being upset repeatedly in past editions, including in the quarter-finals by New Zealand at the 2011 tournament in the sub-continent.
Steyn will lead the Proteas' attack for a one-day series against New Zealand later this month where the tourists will hope to familiarise themselves with conditions ahead of the global showpiece.
"New Zealand are a dark horse team whenever there is a tournament around," Steyn told South African media.
"New Zealand are one of those teams that can be nowhere for three years and get to a World Cup and they just suddenly turn it on,” he added.
Australia have also handed out their share of World Cup heartbreak to South Africa, not least the 1999 and 2007 tournaments where they knocked them out of the semi-finals.
The teams remain fierce adversaries, with Steyn holding a grudge against Australia captain Michael Clarke for a sledge during a tense Test series in South Africa earlier this year which the tourists edged.
South Africa recently won a triangular one-day tournament with Australia and hosts Zimbabwe to exact a measure of revenge, but Steyn showed there was little love lost between the Proteas and Clarke's team.
"We all know Australia are a good team. They're in your face all the time. It's pretty annoying really," Steyn said.
New Zealand play the Proteas in Mount Maunganui on October 21 and 24, and in Hamilton on October 27 before heading to Australia for more limited overs matches.

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