Of American-English origin, the exclamative phrase the things you see when you haven’t got your gun and variants convey surprise at seeing something or somebody unexpected.

This phrase alludes to a hunter who will lament seeing all sorts of game when he goes out into the woods and fields without his gun.

These are the earliest occurrences of the phrase that I have found, in chronological order:

1-: From the column Notes and Comments, published in the St. Albans Daily Messenger (St. Albans, Vermont) of Monday 12^th November 1883—the original meaning of dude was a dandy:

Two farmers saw a couple of dudes on a street in Troy, when one exclaimed: “Gosh! What things we see when we don’t have no gun.”

Many U.S. newspapers reprinted or adapted this paragraph—the following, for example, is from The Hope Pioneer (Hope, North Dakota) of Friday 7^th December 1883:

As two specimens of that new variety of animal popularly known as the dude were pursuing their conspicuous yet harmless way along the streets last Tuesday morning, two representatives of the farming districts spied them. The grangers halted and surveyed the curiosities with surprise and increased interest, but a look of disappointment overspread their honest countenances as one of the ruralists said to the other: “Gosh! what things we see when we don’t have no guns.”—Wahpeton Times.

—Cf. also the variant with microscopes at 6, below.

2-: From the column Gotham Gossip, by Hensell, published in The Daily American (Nashville, Tennessee) of Sunday 15^th June 1884:

New York, June 13.—[…]
[…]
The only new theatrical show of the week […] was “Penny-Ante,” a burlesque. It was crude and inane to the last degree […]. The actor who aroused especial animosity in the audience was the personator of a tiresome and familiar old frump. […]
“What curious things we see when we haven’t got a gun,” exclaimed the actor, at a juncture where, owing to somebody else’s forgetfulness, he was driven to improvise a remark.
Aha! thought I. None other than a negro minstrel would have the audacity to use a gag of that tattered and worn condition.

3-: From The Boston Daily Globe (Boston, Massachusetts) of Wednesday 16^th July 1884:

There is a man in Salt Lake who says he saw an angel give the graven plates of the Book of Mormon to Joe Smith. What funny things we see when we haven’t got a gun.

4-: From the column Saturday Chat, published in the St. Louis Post-Dispatch (St. Louis, Missouri) of Saturday 11^th October 1884:

The Veiled Prophets’ celebration, which is now the distinguishing feature of the week, is not an original idea. It is a base and servile imitation of the New Orleans Mardi Gras, but it “caught on” at its first appearance. It was adopted with a unanimity which makes it as distinctively a St. Louis feature as our proverbial self-disparagement.
[…]
What did I admire the most at the Veiled Prophets’ ball? The various styles of architecture in dancing. In waltzing, particularly, I noticed the classic, the Gothic, the perpendicular, the early English, the decorated and flamboyant styles, all practiced by the elders. The traditional gentleman who “hasn’t had skates on for twenty-five years” is an amusing figure on the ice, but he is not a circumstance to the heavy and infrequent dancer whose sole annual appearance in the mazy is made at the V. P. Some of them were simply delicious, reminding me of the remark of Jove in “Orpheus and Eurydice:” “What funny things you see when you haven’t got a gun.”

5-: From the Louisiana Democrat (Alexandria, Louisiana) of Saturday 1^st November 1884:

—Tramps and house to house pealers are the order of the day. The citizens in the suburbs are much troubled from this source. If the police would stroll out that way now and then they might provoke the remark, “What funny things we see when we have no guns!”—and yet be of much service to the denizens.—[Shreveport Democrat.

6-: From a letter to the Editor, by ‘Saleratus Upp, Trajedian of the Midnight’, published in The Cleveland Leader (Cleveland, Ohio) of Monday 3^rd November 1884:

I wuz badly bored at the treatment my corpse of dudes received in Dadeville, Alabamy. Theze dudes wear tight pants and eye-glasses, & hev pictures of Geo. Wilyum Curtis, Beecher, Cleveland, &ct., pinned onto their shirt buzzims. They play the part of Independents in my trajedy. While waikin’ along the streets, two big rawboned countrymen met them.
“Gosh all hemlock, Bill,” sez one to the other, glarin’ down at the dudes, “what things we see when we don’t hev our microscopes.”

7-: From The Cincinnati Enquirer (Cincinnati, Ohio) of Thursday 25^th December 1884:

The Akron Beacon is flying Blaine and Logan at its editorial head as the “strongest ticket in 1888” for the Republicans. This is another of the funny things you see when you haven’t, &c.

8-: From The Nickerson Register (Nickerson, Kansas) of Saturday 20^th June 1885:

“What funny things we see sometimes when we haven’t got a gun.” Oh!

9-: From the column Men and Things, published in the Harrisburg Telegraph (Harrisburg, Pennsylvania) of Saturday 26^th September 1885:

Funny Things You See When You Haven’t Got Your Gun.

What funny things you see when you haven’t got your gun with you. There are some people you could cheerfully shoot and feel happy. One of this class I met in the postoffice corridor not long ago at a time when the supply of postal cards was exhausted, and new postal cards were expected every day. He asked the clerk for a postal card, and was told there wasn’t any on hand. He went away growling like a pirate. At noon I met him again, and he was inquiring for a postal card again, and again he was told he couldn’t buy one. He was mad clean through and inveighed against a postal system that would permit the postal card supply to become exhausted. I dropped into the postofflce that evening, and there sure enough was his old jaggers kicking because there were no postal cards on hand. l wondered why he didn’t hunt one somewhere else, or else pay 2 cents and send a letter, but I didn’t say anything. The next morning, as I called at the postoffice, I asked for a postal card, and was handed out one of the new style. At my elbow was my friend, the kicker. “Is that the new style?” he asked. “Yes, sir,” said the clerk, “how many did you wish?” “Me? Oh, I didn’t want to buy any. I only wanted to see what the new style card looked like.” I never felt like kicking anybody as I did him. Here he had been growling because there were no postal cards on hand, and when they did come he only wanted to see them. Hence, what funny things you see when you haven’t got your gun with you.