"You shouldn't have!" is a common set phrase that people say when someone gives them a gift. It means "You shouldn't have gotten anything for me!"

A: Here, I brought you something from New York.

B: You brought me a gift? You shouldn't have!

Use this expression when you get a gift and you want to seem surprised.

"You shouldn't have!" sounds a little old-fashioned. Young people in their teens and twenties might not use it with their friends.