Place the bacon pieces on a wire rack set over a foil-lined baking sheet.
Bake for 10 minutes, then transfer the bacon to a paper towel-lined plate to cool slightly. Leave the oven on.
Add the shrimp, olive oil, paprika, oregano, garlic powder, salt, and pepper to a large mixing bowl. Toss until evenly coated.
Wrap each shrimp with a piece of bacon and secure with a toothpick.
Arrange the bacon-wrapped shrimp in a single layer on a foil-lined baking sheet.
Bake for 10–12 minutes, flipping halfway through, until the shrimp are pink and the bacon is crispy.
Remove from the oven and let rest for 5 minutes.
Serve with lemon wedges, if desired.
Notes
Do not use thick cut bacon for this recipe. It takes too long to cook and is difficult to wrap around the shrimp. Refrigerate the leftovers in an airtight container for up to 3 days.