Preheat air fryer to 390 degrees F / 200 degrees C. Gently toss shrimp in a small bowl with the avocado oil and Old Bay seasoning.
Cut the bacon slices in half lengthwise, and wrap one half of the bacon around each of the shrimp. Secure with toothpick.
Place the shrimp in the air fryer basket and air fry for 10 minutes, turning over halfway through cook time, until the bacon is crispy and the shrimp is cooked all the way through.