Shrimp Recipes to serve with Cocktail Sauce: Shrimp Cocktail is a classic appetizer to serve with cocktail sauce. MyRecipes has 70,000+ tested recipes and videos to help you be a better cook. Great for parties and holiday get togethers. Homemade Cocktail Sauce is a spicy sweet dip made with ketchup and horseradish that is typically served with shrimp cocktail. For a brighter and more sour flavor (which is great for salmon), switch out the mayonnaise for buttermilk in the recipe. Easy to make ahead of your gathering. But if you have horseradish growing in your garden, by all means use it for this easy “horsey sauce!” CREAMY BASE This recipe for horseradish sauce has sour cream and mayonnaise along with the other seasonings. Learn how to make Horseradish Cocktail Sauce. Southern Fried Shrimp is a favorite to serve as an … It’s easy to make at home in just a few minutes and tastes so much better than bottled.