Too long for a comment:
First, check the power supply that supplies your +/- 5 volts. The +5 volt and -5v must share the same grounds. This usually means that the black terminal on the +5V must be tied to the red terminal on the -5V. These two terminals are your circuit ground and must also be tied to your signal generator ground. From your scope picture, it appears that your power supply ground is floating. If you are unsure, just add a photo of your setup showing your power supply hookup.
Once you have done this, adjust the function generator down to a lower frequency, say about 2 kHz. The function generator likely has a 50-ohm output impedance, so would need a 50-ohm load to give you the voltage shown on the function generator display. Since you are driving a high impedance, expect the output of the generator to be twice as high as shown on the generator display. So with an output set to 3 mV, you will be applying 6 mV to your amplifier. You should see a 2 kHz signal of 0.6 V p-p.
At 200 kHz and gain of 100, the signal will start to roll off. You can see from the chart below, taken from your data sheet, that the gain is down a few dB at 200 kHz. So the amplitude will start to drop for signals above 100 kHz at this gain setting.