For an example, a standard 2×2 Lego brick has a surface area of roughly 2.25 centimetres squared (for the sake of simplicity we’ll ignore the studs, which certainly aren’t going to help matters for your foot anyway). Let’s say a person weighing 75 kilos (165 pounds or 734 Newtons) steps onto it.
Now, the pressure on a given object is equal to the force applied divided by the area over which it is spread (P=F/A). So even if that 75 kilo person were just standing on the Lego with one foot, rather than having their foot accelerating downward at some rate as with walking, this gives us 734 N/0.000225 m2 = roughly 3,262,222 pascals of pressure! For reference, that is roughly 32 times standard atmospheric pressure, all suddenly forcing its knobbly, unforgiving way against one of the most sensitive regions of the body.
To illustrate, here's a cartoon by ILoveDoodle.