I find this sauce is really good with fried shrimp. Shrimp Dipping Sauce Recipe This shrimp dipping sauce is a little different than most of your other shrimp sauces, as it has mayonnaise in it. Heat enough oil for deep frying, coat shrimp with egg white followed by corn starch, then deep fry until pink, around 1-2 minutes, remove and drain on paper towel to absorb excess oil. Marinate the shrimp with lime juice and salt for 15 minutes.