Below shows that $\sigma_k(n) > n^k$ for $n>1$ and $k>0$. $\sigma_1(n) = \sum_{d|n}d = \sigma(n)$ is the very well known divisor function. Basic properties of $\sigma_k(n)$ and fundamental theorem of arithmetic will lead us to the result.
$\textbf{Property 1:}$ If $p$ is a prime number and $q \in \mathbb{N}$, then
$\sigma_k(p^q) = 1+p^k+p^{2k}+...+p^{qk}$
Proof of above property is straight forward as any integer of the form $p^i$ for $i \in \mathbb{N}$ and $i \leq q $ will divide $p^q$ with a quotient of $p^{q-i}$
$\textbf{Property 2:}$ If $gcd(a,b)=1$ then $\sigma_k(ab) = \sigma_k(a)\sigma_k(b)$
Proof: Let $d_a,d_b$ be such that $d_a|a$ and $d_b|b$. As $gcd(a,b) =1$ we also have $gcd(d_a,d_b) =1$ and thus there's a bijection between the sets $(d_a,d_b)\rightarrow d_ad_b$. Denote $d_{ab} = d_ad_b$ and we also have $d_{ab}|ab$.
Now $$\sigma_k(a)\sigma_k(b) = (\sum_{d_a | a} d_a^k)(\sum_{d_b | b} d_b^k) = \sum_{d_a | a, \ d' | b} (d_ad_b)^k = \sum_{d_{ab} | ab} d_{ab}^k=\sigma_k(ab)$$
Look at a different approach for $k=1$ here: The sigma function (sum of divisors ) multiplicative proof
Let me know in the comments if the bijection is not obvious, I write some more on that if needed.
Now using the fundamental theorem of arithmetic, for any $n\in \mathbb{N}$, there exists $p_1,p_2,...,p_q,a_1,a_2,...,a_q$ where $p_1,p_2,...,p_q$ are prime numbers and $a_1,a_2,...,a_q$ are positive integers such that,
$$n = p_1^{a_1}p_2^{a_2}...p_q^{a_q}$$
Then, $\sigma_k(n) = \sigma_k(p_1^{a_1}p_2^{a_2}...p_q^{a_q}) = \sigma_k(p_1^{a_1})\sigma_k(p_2^{a_2})...\sigma_k(p_q^{a_q})$
$=(1+p_1^k+p_1^{2k}+...+p_1^{a_1k})(1+p_2^k+p_2^{2k}+...+p_2^{a_2k})...(1+p_q^k+p_q^{2k}+...+p_q^{qk}) > p_1^{a_1k}p_2^{a_2k}...p_q^{a_qk}$
$= (p_1^{a_1}p_2^{a_2}...p_q^{a_q})^k = n^k$
Note that the inequality holds true only if $k \neq 0$ and $n \neq 1$.
Thus the Natural Density (https://en.wikipedia.org/wiki/Natural_density) of $\sigma_k(n)$ is $0$ for $k>0$