Pour oil in a deep saucepan or pot, and heat to 350˚F. For best results, use an instant read thermometer. (Oil should come up about 3 to 4 inches from the bottom of the pot.)
In a mixing bowl combine flour, Cajun seasoning, salt, and pepper.
In a separate bowl combine egg and milk; mix to combine and set aside.
Take half of the prepared flour mixture and pour it into a resealable bag.
Add shrimp to the bag and shake until shrimp are covered with flour mixture.
Remove shrimp from bag and dredge in egg mixture. Then coat the shrimp with the remaining fresh flour mixture that’s in the bowl.
Fry shrimp, about 5 to 6 shrimp at a time, in heated oil for 2 to 3 minutes, or until golden brown on all sides and cooked through.
Remove from oil and set shrimp on a paper towel lined plate.
Continue the process with the rest of the shrimp.
Garnish with parsley and serve with your favorite dipping sauce.