Add panko breadcrumbs, paprika, oregano, basil, powder, salt, and cayenne to a large plastic bag. Add flour to a separate large plastic bag. Beat egg and water in a bowl.
Add shrimp to the bag of flour. Shake until well coated. Dip each shrimp in the egg mixture, and add to the bag of breadcrumbs. Shake until well coated.
Drizzle olive oil over a large baking sheet. Place coated shrimp in a single layer on baking sheet.
Bake for 8-10 minutes (depending on how large your shrimp are), flipping half way.