Preheat the grill to medium-high heat (450–500°F).
Toss the shrimp with olive oil, Old Bay seasoning, cayenne pepper, and salt.
Thread the shrimp onto skewers, securing each shrimp through both the body and tail.
Grill for about 2 minutes on one side.
Flip and cook another 1–2 minutes until the shrimp are pink, opaque, and cooked through.
Remove from the grill and set aside.