Preheat your oven to 400°F / 200°C. Place a large cookie sheet into the oven to heat up.
Slice the zucchini into wedges about 1/2 inch / 1.5 cm thick.
Place the flour into a shallow bowl. Whisk the egg and milk together in another shallow bowl. In a third bowl mix together bread crumbs, salt, pepper, and cayenne.
Start your assembly line. First dredge the zucchini wedges in the flour, then dunk into the egg mixture, and lastly place into the bread crumbs, tossing to coat.
Place the coated zucchini fries on a parchment-lined baking tray while you get the remaining fries ready.
Remove the cookie sheet from the oven and spread 2 Tbsp of oil over the surface, or more as needed to ensure the surface is liberally coated in oil. Put the tray back into the oven for a couple of minutes to heat the oil.
Remove the cookie sheet from the oven and quickly arrange zucchini fries in a single layer.
Set the tray in the oven and bake for 10 minutes. Then remove the tray from the oven, turn fries over, and return to the oven to bake for another 10 minutes.
The zucchini fries are done when they're golden and crispy on the outside.
Serve immediately with a dip of your choice.