There is one type of dye that is safer than any other dye: US FD & C food colorings (which stands for Food, Drug and Cosmetics). These dyes have been tested for safety when used in foods, which is far more stringent than the testing for any art material. Art materials marked "non-toxic" are not considered safe to eat, as a rule. It is possible to use food colorings as dyes. They will wash out of cotton and other plant fibers, but will be okay if the item made is never washed, as in the case of some ephemeral children's art projects, and they are good dyes for animal fibers, such as wool, when used with an appropriate acid, such as vinegar, and the right amount of heat.
For more information on using food coloring as a dye for fabric or yarn, see Using Food Coloring as a Textile Dye for Protein Fibers.
The most dangerous class of dyes I have actually used are the Basic dyes, which are excellent at dyeing acrylic fiber. They will dye everything you use them with, including plastics, and they include some known carcinogens. (I used some of these dyes to damage DNA in my Ph.D. dissertation.)
Naphthol dyes are still popular in Indonesia for batiking, and were formerly used in the US, but they are now commonly considered to be too dangerous for craft use in the US. Some naphthol dyes are suspected carcinogens or mutagens, and must not be used during pregnancy. I do not know of any US source for them. They are a true cold water dye.
The heavy metal mordants often used to get acceptable effects from natural dyes are themselves among the most toxic of all dye agents, though the natural dyes themselves are rarely very toxic. Chrome is an excellent mordant but is now rarely used at home because of its dangers. Alum is the most popular mordant because it is relatively safe.
Procion MX dyes, and closely related dyes such as the Cibacron F (Sabracron F) dyes, have the very important safety property of not penetrating intact skin cells, according to Ivanov's Reactive Dyes in Biology, so that dye spilled on the skin is not absorbed into the system. This helps to make them a rather safe class of dye. However, some other types of dyes are readily absorbed into the skin, and thus represent a hazard even to those who are careful to wear gloves and dust masks.
Unless you are using only food coloring for your dyes, always ask your dye supplier for the MSDS (Materials Safety Data Sheet) for each of the dyes which you are going to use, and follow the indicated precautions.
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