Preheat oven to 400 degrees Fahrenheit (200 degrees Celsius). Line a baking sheet with parchment paper.
Set up three shallow bowls: one with flour, one with beaten egg and milk, and one with the coconut-panko mixture (combine shredded coconut and panko breadcrumbs).
Season the shrimp with salt and pepper.
Dip each shrimp in flour, then egg mixture, and finally in the coconut-panko mixture.
Place the coated shrimp on the prepared baking sheet.
Lightly spray the shrimp with cooking spray.
Bake for 12-15 minutes, or until golden brown and cooked through.
While the shrimp bakes, whisk together the ingredients for the sweet chili dipping sauce.
Serve the baked coconut shrimp warm with the dipping sauce.
Notes
You can use sweetened shredded coconut for a sweeter flavor.
For a spicier dish, add a pinch of cayenne pepper to the coconut-panko mixture.
Make sure the shrimp are cooked through; they should be opaque and pink.