Prep and preheat. Heat your oven to 375°F (190°C).
Lightly grease a small baking dish or oven-safe skillet (8–9 inches).
Season the shrimp. Pat the chopped shrimp dry. Toss with 1 teaspoon Cajun seasoning, a pinch of salt, and a few grinds of black pepper.
Sauté the aromatics. In a large skillet over medium heat, warm the olive oil and butter. Add onion, bell pepper, and celery with a pinch of salt.
Cook 5–6 minutes, stirring, until softened. Stir in garlic for 30 seconds.
Cook the shrimp. Add the seasoned shrimp to the skillet. Cook 2–3 minutes, just until pink and opaque.
Sprinkle in the remaining Cajun seasoning, smoked paprika, and cayenne if using. Remove from heat and let cool slightly.
Make the creamy base. In a bowl, mix cream cheese, sour cream, mayonnaise, Dijon, Worcestershire, lemon juice, and lemon zest until smooth. Season with a small pinch of salt and pepper.
Fold it together. Stir the warm shrimp mixture into the creamy base.
Fold in cheddar, Monterey Jack, and parsley. Taste and adjust salt, pepper, or Cajun seasoning as needed.
Transfer and bake. Spread the mixture into the prepared baking dish. Smooth the top and, if you like, sprinkle a little extra cheese.
Bake 18–22 minutes, until bubbling around the edges and lightly golden on top.
Finish and serve. Let the dip rest 5 minutes. Garnish with more parsley and green onions. Serve hot with your favorite dippers.