- Peel shrimp, leaving head and tail on. Place barbecue sauce in skillet and set on medium heat. Place shrimp in skillet and cook until they turn pink, approximately 2 minutes on 1 side, and 1 1/2 minutes on the other side. Remove shrimp from skillet and place on plate, pouring any extra sauce from the skillet on top of the shrimp. Drizzle a small amount of horseradish sauce on top of the shrimp and serve.