This issue occurred at least in Python 2.7, I haven't checked in other versions.

When stepping on a return statement, pdb calls the return value __str__() method to display it at the end of the line. Only, it doesn't handle the potential exceptions raised within those functions.

An exemple would be:
import pdb

class A(object):
    def __new__(cls):
        pdb.set_trace()
        return super(A, cls).__new__()
    def __init__(self):
        self.value = "Foo"
    def __str__(self):
        return self.value

pdb.run("A()")

When using the step by step, pdb will be interrupted by an unhandled AttributeError.