Not only do Russian space travelers have guns on board in case they land in the wilderness (see here ) some military space operations done during soviet times had guns meant to be used in space (from here ):
However I might’ve been hasty in my assumption that NASA crews carry guns as well. I didn’t consider the possibility that it could not be the case cause as a kid in Russia that’s how you pictured astronauts, eating food from tubes and fighting off wildlife in the Kazakhstan wilderness after landing. So, I can’t really find a cite stating that NASA crews that did not use the space shuttle did not have guns. It would make sense that a parachute-based lander should have the basics on board in case you land somewhere inhospitable.
Landing. Remember, the US Space Shuttle is the only craft that pretty much either lands in one of two places or doesn’t land at all. The rest of them pretty much land hopefully somewhere in the vicinity of where you wanted them to land - and this has not always been the case, a lot of factors can change course. Now guns might not be all that useful in case of a water landing, but if you land somewhere in the wilderness or hostile territory you might have to sit tight for a few hours or even days until the recovery crew finds you and gets to you.