It is strange that he should have come back so early .

should have done只用于谈论过去情况,主要有两个用法：
■用于推测过去已经发生的情况.如：
He should have arrived by now. 此时他本该到了.
The letter should have arrived by now. 信现在该到了.
■用于指本该发生而实际上未发生的情况.如：
You should have told me so before. 你早就应该告诉我.
Look at the time! We should have been at the theatre ten minutes ago. 瞧都什么时候了! 十分钟前我们就该到戏院了.

come 状态词 应该是should be come 或should have come

这是现在完成时的形式。

这里的come是过去分词，而不是动词原形，should have done 表示“本来应该做某事却没有做”