Hi there, and welcome to the forums.
In very rough terms:
Overclocking itself does not damage anything afaik, but it can lead to instability. What can
damage your components however is overvolting. Overvolting is relevant because it allows
for higher overclocks while maintaining stability (so basically: you can overclock to some degree
on stock voltages, you encounter instability, you up the voltages, and if you've increased voltage
enough you will get a "stable overclock"). Depending on what GPU card you have, overvolting
may be disabled by the manufacturer (current Nvidia chips afaik, not sure about AMD).
I once read a very nice article a few years ago which explained how overclocking works with a
few nice pictures; I'll see if I can find that again.