We have a couple examples from science fiction that proves this. The first is "Mimsy Were the Borogoves," by Lewis Padgett (actually a pen name often used by SF writers and husband/wife team Henry Kuttner and C.L. Moore when they collaborated).
Published in the February 1943 issue of Astounding Science Fiction, it begins with a human (or perhaps someone no longer quite human) experimenting with a time machine. Using two old boxex of toys left over from his youth to test his machine, he sends one back millions of years to the 19th Century. The other goes back almost as far, ending up in 1942.
The story centers mostly on the 1942 box (though astute readers will know from the title who finds the 19th Century box). A seven-year-old boy named Scott finds the box. He and his two-year-old sister Emma begin playing with the toys. What neither they nor their parents (at least at first) realize is that the toys are educational as well as fun. The trouble with that is that it is teaching the kids a non-Euclidian method of thinking. In other words, the kids are soon able to look at the world around them in ways that adults, who are already conditioned to Euclidian logic, cannot see or understand.
This might not be a good thing.
"Mimsy Were the Borogroves" depends a lot on our understanding that kids don't by nature see the world the same way as adults. They have to be taught as they grow to understand how the world works.
So when it becomes apparent that Scott and Emma see the world in an incomprehensible but still valid way that no adult can understand, the story becomes satisfyingly creepy. The ending, at least from the point-of-view of the adults, is inevitably tragic.
"The Little Black Bag," by C.F. Kornbluth, was published in Astounding's July 1950 issue. I love the back story in this one. In the future, most people have become... well, really stupid. Fortunately, there's a small number of really smart people who keep society going. They do this by creating technology that any idiot can use properly. For instance, a doctor's little black bag contains surgical devices and medicines that can be easily used, with very clear instructions on how to use them properly. If you can read the enclosed instructions, you can effectively treat just about any injury or disease. So the doctor who uses the bag might very well be an idiot, but the bag will help him treat his patients properly
When one such bag is inadvertently sent back in time to the 20th Century, it's found by an alcoholic former doctor named Bayard Full. At first, he plans to hock it for booze money. But when a woman offers him two dollars to treat her sick child, he stumbles over the fact that it can be used to heal just about anything.
Circumstances bring him into partnership with a greedy young lady named Angie, who wants to use the bag to treat rich patients and perform cosmetic surgery. But Dr. Full has rediscovered his sense of ethics. Though he and Angie work together for a time treating the sick, he plans to turn the bag over to scientists for study.
Angie objects to this plan. Her objections lead to... well, they don't lead to anything good.
"The Little Black Bag" is a fun story with a unique premise and it follows its own internal logic impeccably. But it has tragic ending. The tragedy in both these stories is dramatically appropriate and brings them to emotionally satisfying conclusions (as "good" tragedy in fiction always does).
But it does teach us that devices sent from the future are always bad news. That device doesn't have to be a killer robot looking for Sarah Conner. It could be something that seems innocuous or even beneficial. So when you see that obviously valuable machine from the future lying at your feet, just turn and walk away. Don't even look back.