Preheat the air fryer to 400°F (200°C) for 3 minutes.
Lightly spray the air fryer basket with cooking spray to prevent sticking.
Place the frozen coconut shrimp in a single layer in the air fryer basket, making sure they do not overlap. You may need to cook in batches.
Air fry the shrimp at 400°F (200°C) for 9 to 10 minutes, flipping them halfway through the cooking time to ensure even crisping.
Check that the shrimp are golden brown and crispy. If needed, cook for an additional 1-2 minutes.
Carefully remove the shrimp from the air fryer and serve immediately with your favorite dipping sauce.