First of all, welcome to the Gauge.
I doubt that you've done any damage to the loco, but your power pack may not be all that good. Leave it off for a few minutes and remove the loco from the test track. Turn it back on, if the "overload" light still comes on, disconnect it from the track. If it still comes on, then it probably has an internal short. If the overload lamp doesn't come back on, and the loco still doesn't run, test the power pack with either a meter if you have one, or find a 12 volt bulb and place it across the tracks with the power pack full on without a loco. If it doesn't light, you may have a bad connection. Disconnect the power pack and put the meter or lamp across the output terminals. No voltage, bad supply, got voltage, check your connections. Somewhere there is a short.