Rinse the shrimp thoroughly with water then pat dry with paper towels. Season with salt and pepper.
Place the bacon slice on a chopping board. Cut into halves, lengthwise. Wrap each halved bacon strip around every shrimp. Secure altogether with a toothpick.
Organize the shrimp on the baking sheet in a way that the seam-side is down. Repeat for all the remaining wrapped shrimp.
Bake in the oven for 15 minutes. Serve once cooked thoroughly. Enjoy!