They can mess up your credit, sue you, and seize the money from your bank account, or get the money the witheld from your paycheck.
And some mortgage loans, in some states, are full recourse -- they can go after other assets (including bank balances) and paychecks. That they often don't reinforces my original point: there are plenty of levers creditors theoretically have that can't practically be employed against mass defaults and poor/unemployed people.