It's going to be difficult to debug this without a scope.
It could be any number of things... do you have a load ? (don't put the LEDs at first, but you can use a resistor of a suitable value for the output current x voltage you expect, for instance, or a dumb zener).
If you didn't use a schottky diode, then that could be the reason. Please post your diode's datasheet.
Also, usually when you do a switcher, layout is very important : for high frequency power, you never use thin long traces, but thick short traces, or better, a mini polygon pour. Component placement is important too : the power parts should be placed tight and close to the IC (just like on the schematic actually) to minimize loop area. The datasheet gives a very good layout, yours is honestly terrible. At 10 kHz switching you can do it with flying wires (a nice noise bomb will result though, but it will work), not so at 1MHz...
If your traces have enough inductance, ringing will occur at every switching event, which can exceed the maximum rating of the switch and simply blow it.