Preheat your oven to 220°C (425°F). Line a baking sheet with parchment paper or a silicone mat to prevent sticking.
Peel and devein the shrimp if not already done, then rinse and pat them very dry with paper towels. Dry shrimp help the coating stick better.
Set up your breading station: in one shallow dish, beat the egg with water until smooth; in another, combine the panko breadcrumbs, smoked paprika, cayenne, salt, and pepper.
Dip each shrimp into the egg wash, letting the excess drip off, then dredge in the seasoned breadcrumbs, pressing lightly to ensure they stick well.
Arrange the coated shrimp on the prepared baking sheet in a single layer, leaving space between each piece.
Lightly spray the coated shrimp all over with oil spray. This helps the breadcrumbs turn golden and crispy during baking.
Bake in the preheated oven for 8-10 minutes, until the shrimp are pink, opaque, and the breadcrumbs are golden brown. Flip the shrimp halfway through to promote even browning.
Once done, remove from the oven and let rest for a couple of minutes. Squeeze fresh lemon juice over the shrimp for a bright, tangy finish.
Garnish with chopped parsley if desired, then serve immediately with lemon wedges or your favorite dipping sauce.
