Sift flour, baking powder, and salt into a bowl; make a well in the center.

In another bowl, beat the egg with a little milk, then add the rest of the milk to make a smooth mixture.

Pour the egg mixture into the dry ingredients along with the oil in two additions, stirring until smooth. Let the batter rest 10 minutes.

Heat oil in a small pot over low-medium heat — enough for the shrimp to be fully or at least 2/3 submerged.

Dip shrimp in the batter and fry until golden and crisp.