What Should I say?
I Said Something In the Past and I Regret it. Should I say:

I shouldn't say that
or
I shouldn't have said that

Question

What Should I say?
I Said Something In the Past and I Regret it. Should I say:

I shouldn't say that 
or
I shouldn't have said that

Answer

The second option, "I shouldn't have said that", is the correct one. Using 'have' makes it past tense.

Answer

The correct answer would be "I shouldn't have said that"

However, I could see you saying "I shouldn't say that" if you say it IMMEDIATELY after the thing that you regret saying.
Example - "You're not the best at what you do. ... Sorry, I shouldn't say that."