More of a commentary on guilt, shame, and insecurity than a classic horror film. You Should Have Left is a well-crafted movie, with a strong cast that enjoy excellent chemistry. The cinematography complements the themes of the story and makes you the viewer feel disoriented, unstuck from time, frustrated, and downright confused.
It is not the type of story that will spoon feed the viewer with excessive exposition and an easily digestible narrative. Instead it cleverly sprinkles in revealing details along the way, disguised as spooky phenomena.
That said, you may find yourself with unanswered questions and a feeling of general dissatisfaction due to some underdeveloped plot points, and the filmmaker's insistence on inviting viewer interpretation and character study.
If you're looking for a straight-forward, frightening tale with a simplistic plot, abundant jump scares, and a grand finale ending -- you should look elsewhere. If, however, you are the type of person that loves Penrose stairs, artwork by M. C. Escher, explorations of human emotions that are often inescapable, self-destructive, and devastating to loved ones -- well you've come to the right place.
Enjoy your stay!