Preheat the oven to 400°F (200°C). Line a baking sheet with parchment paper.
Pat the shrimp dry with paper towels.
In one shallow bowl, combine flour, salt, pepper, and paprika.
Place beaten eggs in a second bowl.
Mix the Panko breadcrumbs and shredded coconut in a third bowl.
Coat each shrimp in the flour mixture, dip into the eggs, then press firmly into the coconut-Panko mixture.
Arrange the coated shrimp on the prepared baking sheet in a single layer.
Bake the Baked Coconut Shrimp for 20–25 minutes, flipping halfway through, until crispy and golden brown.
While the shrimp bake, whisk together mayonnaise, sweet chili sauce, lime juice, and garlic powder until smooth.
Serve immediately with the sweet chili mayo for dipping.