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In a medium bowl, combine shrimp, pimentón, salt, 2 tablespoons of the oil and 3 tablespoons of the garlic. Toss to combine, then refrigerate while you prepare polenta and sauce.
Preheat the oven to 250°F (or a warming setting). Heat a large skillet over medium-high heat. Add polenta, working in batches if needed, and cook until browned on both sides, about 3 minutes per side. Transfer to a baking sheet and keep warm in the oven.
Heat remaining 1 tablespoon oil in a medium saucepan over medium heat. Add shallot, remaining 2 tablespoons garlic and celery, and cook until fragrant and soft, about 2 minutes. Add flour and stir to coat vegetables. Cook until flour is no longer dry, about 1 minute. Add milk and stir to combine. Bring to a simmer and cook until thickened slightly, about 4 minutes. Remove from heat, stir in cheese and keep warm.
Heat a skillet over medium-high heat. Add shrimp and cook until browned around the edges and cooked through, about 7 minutes. Serve immediately over polenta, topped with sauce.