Depends on where it is but it won't really hurt the engine.
If it's at the exhaust manifold or otherwise pre-cat, you will likely start damaging the cats- it's like blowing oxygen on a fire. Worst case, the metal in the cat melts and you plug the cat, car won't run. If you live in an emissions testing area, you'll also fail emissions if cat isn't working.
If it's post cat, it's not likely to damage anything but it's still a safety issue as far as exhaust entering the cabin. Worst case, it's at the post-cat O2 sensor and causes a check engine light because of unreasonable O2 calculation.
Small leak pre-cats (around the welded heatshielding) has caused my 3.5L to stall out, loose sync and ultimately damage cats, O2 sensors and cause BACKFIRE. It got to a point where the car sounded like a Chevy Lumina (it has that specific sound signature exhaust like 90s Chevys/Oldsmobiles), buck and loose power and finally.. engine would stall out and not start anymore. Great.
Now the 3.5L was dead. The whole new exhaust including manifolds, cats, O2 sensors and a muffler got put on, now the engine runs like new.
I guess our cars rely on backpressure a great deal. Lesson Learned.