Rinse thawed shrimp in cold water and drain completely. In large bowl, toss shrimp with a generous drizzle of olive oil until evenly coated. Transfer shrimp to large rimmed baking sheet. Sprinkle with salt and pepper.
Mix melted butter, lemon juice and Worcestershire sauce. Pour mixture over shrimp. Sprinkle with cajun seasoning.
Bake for 6-8 minutes or until shrimp are pink and slightly curled.