He has already returned the sample to the shop when he went to the shop last time.
anonymous has already returned ... when he went This is not correct. If your main clause has the present perfect tense, you cannot have a subordinate clause of time in the same sentence.
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anonymous has already returned ... when he went
This is not correct. If your main clause has the present perfect tense, you cannot have a subordinate clause of time in the same sentence.
Part of your correction should include the past perfect.
He had already returned the sample to the shop the last time he