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