1. I try not to stress out when things go wrong.

2. He went bald.
3. She went mad.
-------------------
In Sentence 2 and 3, 'bald' and 'mad' are adjectives, so 'went' means 'became.' What about in Sentence 1? Does 'go' mean 'become'? Is 'wrong' an adjective?

You are right about 2 and 3.

I think you're right about 1, too. I had never thought about these verbs in this way, but I think you're right!