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If I arrive to dinner at a friend and his wife's house. They have invited me. I didn't bring anything, so when I arrive I ask: Should I have brought something?

Is this a natural thing to ask?

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anonymousIs this a natural thing to ask?

The sentence is natural (idiomatic) but not appropriate to the situation.

Say nothing at all, or if you feel you must draw attention to the fact that you haven't brought anything (who knows for what misguided reason), say, "I'm sorry I haven't brought anything".

Next time, if there is one, bring something!

CJ

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It's natural English, but in this context it seems vague to me. I would probably wonder what sort of thing you were referring to. Possibly I would guess that you meant e.g. a bottle of wine, but I would not be sure.