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When travelling on trains in the USA, I have noticed a sign saying "watch the step" close to the exit. I thought it was referring to stairs, but nowhere close to the exit I have seen stairs. I also thought it would be referring to stairs I could find right outside the train, but outside the train I always walked on a pavement.
What does step in "watch the step" mean, in that sign?
It means to be careful of the step between the platform and the train itself. It’s like the ubiquitous “mind the gap” of the London tube.
The platform and the train are seldom on exactly the same level, so you almost always have to step up or step down; think of it as a one-step staircase, perhaps. But even if they are exactly level, there’s likely to be a plunging hole between them, which suffices to make it prudent to tell people to watch their step. “Watch your step” doesn’t refer to a literal step, but rather tells you to watch where you are stepping.
:)
More often than not, it's written as "WATCH YOUR STEP", and step in this case refers to how somebody walks (see meanings 1 and 2 at Collins), as opposed to physical stairs (as mentioned in meanings 12 and 16).
Even if the sign reads WATCH THE STEP, I still think the word step can allude to where you are putting your feet, as opposed to some kind of stairs.
As tchrist indicates, it's Mind the gap on UK underground/mainline trains. Presumably by association, our signs usually stick with Mind the step for other contexts where there's a change in level but no gap.
But bearing in mind OP asks whether Watch the step can be used where there aren't any actual stairs, it's worth pointing out that...
...is a very common metaphorical usage as a warning Be careful!, in contexts that may well have nothing at all to do with physical movement (and that one is always your, never the). Note that it's very often used in contexts where the danger involves "clashing with authority" ("Watch your step with the new boss!").
In the literal sense, "the step" can be a step up/down in level where you're walking, or it can be the same as "your step", where it means the act of placing one foot in front of the other to walk/climb. The metaphorical sense alludes to that latter, obviously. Take care with each small move you make.
