Preheat oven to 400°F and toss shrimp with olive oil on a large baking sheet.

Season with salt and pepper and bake until shrimp are completely opaque, 5 to 7.

In a large bowl, whisk together mayonnaise, lemon juice and zest, and dijon mustard.

Season with salt and pepper.

Add cooked shrimp, red onion, celery, and dill to the bowl and toss to combine.

Serve on bread or over lettuce.