Are domesticated animals really "more intelligent," or is that a myth/misunderstanding?
Domestication has little, if anything, to do with intelligence.  From biologist Jared Diamond, the 6 criteria for domestication are as follows:


  
  Flexible diet – Creatures that are willing to consume a wide variety of food sources and can live off less cumulative food from the food pyramid (such as corn or wheat), particularly food that is not utilized by humans (such as grass and forage) are less expensive to keep in captivity. Carnivores by definition feed primarily or only on flesh, which requires the expenditure of many animals, though they may exploit sources of meat not utilized by humans, such as scraps and vermin.
  Reasonably fast growth rate – Fast maturity rate compared to the human life span allows breeding intervention and makes the animal useful within an acceptable duration of caretaking. Some large animals require many years before they reach a useful size.
  Ability to be bred in captivity – Creatures that are reluctant to breed when kept in captivity do not produce useful offspring, and instead are limited to capture in their wild state. Creatures such as the panda, antelope and giant forest hog are territorial when breeding and cannot be maintained in crowded enclosures in captivity.
  Pleasant disposition – Large creatures that are aggressive toward humans are dangerous to keep in captivity. The African buffalo has an unpredictable nature and is highly dangerous to humans; similarly, although the American bison is raised in enclosed ranges in the Western United States, it is much too dangerous to be regarded as truly domesticated. Although similar to the domesticated pig in many ways, Africa's warthog and bushpig are also dangerous in captivity.
  Temperament which makes it unlikely to panic – A creature with a nervous disposition is difficult to keep in captivity as it may attempt to flee whenever startled. The gazelle is very flighty and it has a powerful leap that allows it to escape an enclosed pen. Some animals, such as the domestic sheep, still have a strong tendency to panic when their flight zone is encroached upon. However, most sheep also show a flocking instinct, whereby they stay close together when pressed. Livestock with such an instinct may be herded by people and dogs.
  Modifiable social hierarchy – Social creatures whose herds occupy overlapping ranges and recognize a hierarchy of dominance can be raised to recognize a human as the pack leader.
  


From his Pulitzer prize-winning book.

We (as a species) domesticated animals (and plants) by selecting traits we sought, and then breeding to keep alive/emphasize these traits. In hunting animals (retrievers, for example), intelligence may be one of those traits. Others might include obedience, speed, agility, even dark-colored coats for camouflage.

It's not really correct to say "more evolved" as @MarchHo explains in his comment. Rather, you might say "more docile", or "less aggressive". 

Keep in mind that less aggressive, domesticated animals are not necessarily more intelligent than their wild counterparts.

status-myth