Is there any evolutionary theory for self-destructive behavior? Self-destructive behavior is usually related to the stress response.

Given that the world is a big source of stress and stress usually is also a source of evolution (since we must adapt to survive), is there any evolutionary theory that explains (or try to explain) the self destructive behavior under stress?

I mean, if the idea is to survive, wouldn't make more sense if, under stress, we could just try harder instead of giving up?
There are many different uses for the word "stress" that should not be confused with one another.  For example, Self-destructive behaviour may be used to cope with psychological stress.  Other examples are stress response, and biological stress, both of which have very different meanings.  An important driving force of natural selection - a key process in evolution - is called selection pressure, which is yet another entirely different kind of stress.

Evolution certainly has great explanatory power, but it doesn't explain all behaviour - especially not the kind that is learned rather than inherited.

I am not aware of any evidence that self-destructive behaviour is inherited, but there is some evidence that it may be learned.  As such, there is no impetus to explain this behaviour in an evolutionary context.  Having said that, self-harm is found in animals besides humans, suggesting that perhaps something may be inherited (eg, the basic "learning mechanism" in humans has many similarities to other animals) that has this side-effect.

A lot of human behaviour does not "make sense" in the immediate context.  Much human behaviour relies on heuristic rules that work most of the time, but fail some of the time.  So for example, if self-harm results from learning, then well, most of the time our built-in learning mechanism serves us well, but sometimes it fails us.