Evil is something bad, and many people believe there exists some sort of supernatural and mysterious force. Devil is the most powerful evil, it is called Satan in Christian belief.
Advocate means that someone supports a policy, strategy or action, and also let everyone know about the position in public.
For example, He is a volunteer of the neighborhood community and has been advocating the mutual help of residents for many years.
So this phrase means to support devil publicly? Not really. When someone makes some arguments or shares a position or opinion in a discussion that is not what one believes, for the sake of argument, in order to brainstorm or explore new ideas, this is called one plays devil's advocate.
Below example is from https://www.urbandictionary.com
Mary: I really want to be with Jon, even after the breakup.
John: Fine, ignore the fact he has the morals of an alley cat, talk to him then. Run to his side.
Mary: No wait, Maybe that is not such a good idea, you are right. Thank you for playing devil's advocate!
說實話我不知道中文該怎麼表達這個詞組的意思，請知道的朋友告訴我。
evil是邪惡的意思，尤其是超自然的神秘的力量。Devil是最邪惡，例如基督教中的撒旦。
Advocate是什麼觀點或信仰的忠實擁躉，公開表達支持。
撒旦的擁躉？這個詞組的意思是說，某人表達一種觀點和立場，並不是代表自己的真實想法，完全是為了從對方沒有考慮到的角度來提出不同意見，基本是表明自己沒有惡意的。
對話中的John是說出來Mar沒有考慮到Jon的品行不好（流浪貓）。