Preheat the oven to 350 degrees F (175 degrees C).
Carefully remove mushroom stems and chop stems into small pieces. Set mushroom caps aside.
Heat butter in a skillet over medium heat. Add mushroom stems and garlic. Cook and stir until soft, 3 to 5 minutes. Remove from heat.
Combine cream cheese, cayenne pepper, black pepper, and salt together in a bowl. Stir in cooked mushroom stem mixture, retaining butter in the skillet.
Return skillet to medium heat and add shrimp. Cook and stir until shrimp are just opaque, 3 to 5 minutes. Remove from heat.
Pour bread crumbs into a shallow bowl. Fill each mushroom cap with cream cheese mixture and press mushroom, cream cheese-side down, into the bread crumbs to coat the top. Stick a cooked shrimp on top of each filled mushroom and place into a baking pan.
Bake in the preheated oven until hot and juicy, about 20 minutes.
