Once I got my Thrasher I never went back to any of the frigates I have.
Under what circumstances would a frigate be better? My destroyer has A LOT more space for guns and greater shields, armor and structural hit points.
I get it that the frigates are smaller and faster and that helps against big ships like cruisers and battle ships but I think the destroyer would do well against them too.
T1 frigates have 3 advantages - speed, signature and price. They are expendable and are generally used in situations like tackle where they aren’t expected to live very long.
Against a destroyer, a frigate will usually be able to control range and use it’s speed and small signature to mitigate incoming damage - it isn’t as uneven as it looks on paper.
When you move to more advanced frigates - pirate or T2, there are some very capable ships, The T2 are optimized for specific roles but pirate frigates like the Worm can be a lot of fun for PVE.
That’s not to say destroyers are bad - your Thrasher will make miners nervous - they are a popular gank ship! Again high damage, cheap and expendable. The more advanced hulls like tactical destroyers are a lot of fun to fly and relatively easy to train. Svipul used to be the most popular ship in the game, now it seems to be the Jackdaw.
Most Frigates are specialized, you won’t find a Destroyer providing mining, e-war, or exploration bonuses. Also I like an Imicus for hauling, it’s faster and way less tempting for gankers than an Iteron Mark 5.
OP
“it depends”
what are you talking about? pvp? pve? large fleet? small gang?
"Under what circumstances would a frigate be better? " mmmmm… maybe an instawarp and immune to bubble ceptor can have some advantages? maybe a stealth bomber can do some things that a thrasher cannot do? maybe a logistic frig can be a better logi than a thrasher?
As @Do_Little said, Frigates have advantages - they have bonuses for a range of capabilities that make them more able in certain roles: The Inquisitors are better at supporting a small gang than a destroyer would be, the Executioner is better at tackle and controlling an opponent than a Coercer would be and so forth.
Destroyers are good at one thing: anti-frigate work where they can engage at range (if they can’t engage at range then things get a bit messy). So, in a fleet they are going to have the role of killing the tackle frigates that are trying to pin down the larger more valuable ships. T2 Destroyers have a different role, but that’s the specialised nature of T2 ships. T3Ds are capable generalists.
The problem a destroyer has against “big ships like cruisers” is that a Destroyer is a relatively big ship, slow ship as well . “Size” is represented by the Signature Radius, typically a Destroyer has twice the radius of a Frigate, and a Cruiser is twice the radius of a Destroyer. Additionally the speeds of the Cruiser and Destroyer are broadly similar making range control a lot harder.
Against a Battleship you’ve got to be very wary of the light drones they will almost inevitably throw against you. A Destroyer is more vulnerable to light drones because it’s relatively slow and large compared to a tackle frigate.
You are a capsuleer: the feeling of immortality is understandable. I like destroyers, but they are not invincible. For many things a frigate is the best tool.