1. Peel shrimp, leaving tails on. Butterfly shrimp by making a deep slit down back of each from large end to tail, cutting to but not through inside curve of shrimp. Devein shrimp, and place in a large bowl.
2. Whisk together milk and next 3 ingredients. Pour mixture over shrimp. Let stand at least 15 minutes or up to 1 hour.
3. Combine fish fry mix and 1 Tbsp. Cajun seasoning. Dredge shrimp in fish fry mixture, and shake off excess. Arrange on baking sheets.
4. Pour oil to a depth of 3 inches into a Dutch oven; heat to 325º. Fry shrimp, in batches, 1 1/2 minutes on each side or until golden brown; drain on wire racks over paper towels.
Note: For testing purposes only, we used Zatarain's Wonderful Fish-Fri and Walker & Sons Slap Ya Mama Cajun Seasoning.