Add the lime juice, salt, and pepper to a bowl and stir to combine. Add the shrimp and toss them until they are evenly coated. Let them sit and marinate for 15 minutes.

Prepare the dredging station by lining up three shallow dishes. Add the flour to one dish. Whisk the egg and milk together in another dish and combine the bread crumbs in the third dish.

Toss the shrimp in the dish with the flour first.

Then, transfer them to the dish with the egg and milk and toss them until they are fully coated.

Next, transfer the shrimp to the dish with the breadcrumb mixture. Press to coat each shrimp in the breadcrumbs and flip to ensure both sides are evenly covered with the crumbs.

Work in batches if necessary and place the shrimp in the air fryer basket in a single layer. Spray the top of the shrimp with olive oil spray and cook at 390 degrees Fahrenheit for 10 minutes or until crisp and golden. Turn the shrimp over halfway through the cooking time.

Serve the shrimp warm with the chipotle mayonnaise on the side for dipping.