Preheat your oven to 400°F (200°C). Pat the shrimp dry with paper towels and season them with salt and pepper to taste.
In a mixing bowl, whisk the egg whites or beaten whole eggs until well combined. In another bowl, mix the whole wheat breadcrumbs, panko, and grated Parmesan cheese.
Dip each shrimp into the egg mixture, allowing any excess to drip off. Then, coat the shrimp in the breadcrumb mixture, pressing gently to ensure an even layer. Place the coated shrimp on a baking sheet lined with parchment paper.
Lightly spray the shrimp with olive oil spray. Bake in the preheated oven for about 12-15 minutes, or until the shrimp are cooked through and the coating is golden brown.
While the shrimp are baking, slice your French bread pieces in half lengthwise. Once the shrimp are done, spread a spoonful of marinara sauce on the inside of each bread piece.
Place a generous amount of the baked shrimp on top of the marinara sauce, then sprinkle with shredded mozzarella cheese.
Return the assembled heroes to the oven for an additional 5-7 minutes, or until the cheese is melted and bubbly.
Remove from the oven, let cool for a few minutes, then serve your Baked Shrimp Parmesan Heroes warm.
