Preheat the air fryer to 390°F (200°C) for 3–5 minutes. A hot basket helps the sauce caramelize fast and prevents sticking.
Pat the shrimp dry with paper towels.
Moisture makes the sauce slide off, so get them as dry as you can.
Make the BBQ coating. In a large bowl, stir together BBQ sauce, olive oil, smoked paprika, garlic powder, onion powder, pepper, salt, cayenne (if using), and lemon juice.
Toss the shrimp in the sauce until every piece is evenly coated. If the sauce looks too thick, add 1 teaspoon water to loosen it.
Arrange shrimp in a single layer in the air fryer basket. Avoid piling them up.
If needed, cook in two batches for best browning.
Air fry for 4 minutes, then quickly open the basket and flip or shake. Brush or spoon any sauce left in the bowl over the shrimp.
Cook 2–3 more minutes until shrimp are pink and opaque with lightly caramelized edges. They should curl into loose “C” shapes, not tight “O”s.
Rest for 1 minute in the basket to let the glaze set.
Garnish with parsley or green onion and serve with lemon wedges.