Use paper towels to thoroughly pat shrimp dry before tossing with spices; this removes surface moisture and allows the seasoning to adhere better while preventing steaming in the oven.

Combine all dry spices (cayenne, paprika, cumin, chili powder, garlic and onion powder) with olive oil to create a paste before coating the shrimp and vegetables; this distributes flavors evenly and prevents burning.

Slice onions and bell peppers into similar-sized strips so they cook at the same rate as the shrimp, ensuring everything finishes perfectly at 400°F in 10-12 minutes.

Add fresh lime juice and cilantro after baking rather than before to preserve their bright, zesty flavors and prevent them from becoming bitter or wilted from oven heat.

Place shrimp around the outer edges of the baking sheet away from the center vegetables, as they cook faster and this positioning prevents overcooking while vegetables finish caramelizing.