Peel shrimp, leaving tails on.

Butterfly shrimp by making a deep slit down the back from large end to tail, cutting to but not through the inside curve.

Devein shrimp and place in a large bowl.

Whisk together milk, egg, yellow mustard, and Cajun seasoning.

Pour the milk mixture over the shrimp.

Let stand for at least 15 minutes, or up to 1 hour.

Combine fish fry mix and Cajun seasoning in a separate bowl.

Dredge shrimp in the fish fry mixture, shaking off any excess.

Arrange the dredged shrimp on baking sheets.

Pour vegetable oil to a depth of 3 inches into a Dutch oven.

Heat the oil to 325°F (160°C).

Fry shrimp in batches for 1 1/2 minutes on each side, or until golden brown.

Drain on wire racks over paper towels.