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In a small bowl, combine mayonnaise, horseradish, and lemon juice. Refrigerate until cold, about 30 minutes.
Preheat oven to 400°. Pat shrimp dry with paper towels and transfer to a medium bowl. Add oil; season with salt and pepper and toss to combine.
Arrange shrimp on a foil-lined baking sheet, spacing ½" apart. Roast, turning halfway through, until pink and cooked through, 5 to 6 minutes.
Transfer shrimp to a platter. Serve at room temperature or chilled. Top aioli with lemon zest and parsley; season with pepper and serve alongside.