As shrimp defrost, they begin to deteriorate, so it is best to cook them quickly from frozen. Don't thaw and refreeze the shrimp. According to the Kitchn, because shrimp are so small, it's very difficult to undercook them. Cooking them from frozen actually will make them juicier and more tender. Just run them under cool water for a minute to remove the ice crystals, pat dry and go ahead and air fry them.