Preheat your oven to 400°F. Pat the shrimp completely dry with paper towels—this is crucial for getting a nice golden exterior when roasted. Spread the shrimp in a single layer on a baking sheet, drizzle with olive oil, and season generously with salt and pepper. Roast for 6-8 minutes, stirring halfway through, until the shrimp are just cooked through and lightly golden (they should curl and turn opaque). Transfer to a bowl and let cool completely while you prepare the dressing—this prevents the heat from breaking down the mayonnaise.

While the shrimp cool, combine the mayonnaise, orange zest, orange juice, and Dijon mustard in a bowl, whisking until smooth. Fold in the minced fresh dill, capers, red onion, and white wine vinegar. I like to taste and adjust the seasoning here—a pinch more salt or a squeeze of lemon can brighten the whole salad if needed. The dressing should be creamy but not heavy, with bright citrus and herbaceous notes.

Once the shrimp have cooled to room temperature, gently fold the dressing from Step 2 into the cooled shrimp, being careful not to break them up. Let the salad rest in the refrigerator for at least 30 minutes before serving—this allows all the flavors to meld beautifully and gives the salad a pleasant chilled temperature. I find that shrimp salad actually tastes better the next day, so don't hesitate to make it ahead.