Make sauce: Place all ingredients except shrimp in a small bowl and stir until well-combined. Cover with plastic wrap and refrigerate until ready to serve.
Place shrimp in a large colander; run under cold water until defrosted. Pat dry with paper towels, put in a bowl, cover and refrigerate for at least 30 minutes or up to 6 hours before serving.
Arrange shrimp on a platter and serve with rémoulade.
