Place chilled cornstarch in small mixing bowl. Set aside.
¼ cup cornstarch
Add chilled flour, cold egg, and cold water to medium mixing bowl. Whisk ingredients together until combined, being careful not to overmix. Some lumps remaining will be fine.
1 cup all-purpose flour, 1 large cold egg, 1 cup very cold water
Pat shrimp completely dry with paper towels.
Working in small batches, dredge shrimp in cornstarch, coating well on all sides. Shake excess cornstarch back into bowl, then immediately transfer shrimp to wet batter. Dip shrimp in batter, coating shrimp completely. Hold shrimp above bowl and allow excess batter to drip off, then immediately place shrimp in 350°F oil.
Repeat battering process, adding shrimp to fry oil until shrimp take up no more than half of fry oil surface. Do not overcrowd pot.
Fry shrimp until golden brown, approximately 2 minutes. Once golden, remove shrimp from fry oil with slotted spoon and transfer to wire cooling rack over paper towels. Using slotted spoon, remove any fried batter or crumbs from fry oil and discard.
Repeat process until all shrimp have been battered and fried. Allow shrimp to rest on wire cooling rack just long enough to drain excess fry oil.
Serve fried shrimp immediately with warm tempura sauce.