It depends on a lot of things. I've had divx files that played fine, and I've had ones that would not play.
For me, the biggest issue has been audio - if the divx file is encoded with, say, Ogg for audio, then you will have to convert it.
See
http://www.aintlovegrand.net/tut/audiofix.htm for more information about one method of doing that.
Other than audio, if the divx file was created with options like GMC or Qpel, then you will have to convert them. A lot of standalone players don't support those options, though, so it seems like most divx files are "safe" in that regard.