Prepare 3 bowls for breading. Place flour in the first bowl with a pinch each of kosher salt and black pepper. In the second bowl, whisk together eggs and water. In the third bowl, combine panko and coconut with ½ teaspoon each kosher salt and black pepper.
Pat shrimp with paper towels to remove excess moisture. One at a time, dredge shrimp in flour, shaking off excess. Dip into egg wash, allowing excess to drip off. Dip in coconut-panko mixture, gently pressing to adhere.
To Deep-Fry
Heat 2-3 inches of oil in a heavy-bottomed, deep pot to 325 to 350 degrees F. Fry shrimp in batches of 5-6, being sure not to crowd the pot, until the breading is golden and the shrimp are opaque, 3-4 minutes. Use a spider strainer to gently move the shrimp around in the oil for even browning.
Remove shrimp from the oil with the spider strainer and place them on a double layer of paper towels set on a plate or baking sheet to drain.
To Bake
Preheat oven to 425 degrees F with rack in the lower-middle position.
Place shrimp in a single layer on a baking sheet. Spray both sides with vegetable oil spray (I use an oil spray bottle.)
Bake for 8-10 minutes, until breading is light golden and shrimp are opaque, turning the shrimp over once halfway through baking.
To Air-Fry
Spray shrimp on both sides with vegetable oil spray, as in the baking method. Add shrimp to the air-fryer basket (I like to cook them in batches of 6-7) and fry at 400 degrees F for 6-8 minutes, until breading is golden and shrimp are opaque. Flip shrimp over once during air frying.
To Serve
Place Coconut Shrimp on a serving platter and garnish with sliced scallions or chopped cilantro, if desired. Serve hot with dipping sauce.
Notes
*Note: nutrition estimates below are for deep-fried shrimp, assuming 10% oil absorption. Values are for the shrimp only and do not include the dipping sauce.Prep-ahead: If you're entertaining, you can bread the shrimp up to 4-6 hours in advance and store them on a baking sheet in the refrigerator. Depending on how chilled they are when you cook them, you might need to add a minute to the cooking time.Variation:To add a little spice to your breading, whisk ½ teaspoon cayenne pepper into the flour.See the blog post above for information on shrimp sizing, comparisons of cooking methods, and reheating suggestions.