This is a threat against those who deny the Qur'an. "We will lead them step by step," meaning: those who deny, "from where they do not know," that is: We will seize them little by little and not take them by surprise.
وَهَذَا وعيدٌ لِمَنْ كذَّب بِالْقُرْآنِ ﴿سنستدرجهم﴾ يَعْنِي: الْمُكَذِّبِينَ ﴿مِنْ حَيْثُ لَا يعلمُونَ﴾ أَيْ: نَأْخُذُهُمْ قَلِيلًا قَلِيلًا وَلا نباغتهم
