Just make sure everything's updated.

Microsoft do a good job of updating drivers and their applications, but Windows application updates vary so much.

For Linux - mostly - the distro maintainers handle all updates and just updating is usually enough.

After that it's down to you... if you disable all the built-in protection and visit dodgy websites then any OS is going to struggle.

You can improve the out-of-box security by removing software you don't use, improving default configurations (one size doesn't fit all) and considering if you want additional security software - this applies to any OS.

So, to return to your question, choose a Linux distro which has regular updates and only contains applications that you use.