Preheat the air fryer to 400°F (200°C) for 5 minutes.
In a medium bowl, whisk together the egg and water until fully combined.
In a separate bowl, mix the cornstarch, garlic powder, paprika, salt, and black pepper.
Dip each shrimp into the egg mixture, then coat evenly with the cornstarch mixture. Place the coated shrimp on a plate.
Lightly brush or spray the shrimp with olive oil to help them crisp up in the air fryer.
Arrange the shrimp in a single layer in the air fryer basket, making sure they do not overlap. You may need to cook in batches.
Cook the shrimp at 400°F (200°C) for 7-8 minutes, shaking the basket halfway through cooking, until the shrimp are golden and crispy.
Remove the shrimp from the air fryer and serve immediately.