In a medium bowl, combine olive oil, romesco sauce, and shrimp until the shrimp are completely coated. Cover and place in the fridge to marinate for 30-60 minutes.
Remove the shrimp from the fridge 10-15 minutes before cooking to allow them to come to room temperature. Heat a large skillet over medium-high heat and add a thin coating of oil (I use around 2 tablespoons).
Once hot, add the shrimp to the pan, letting any excess romesco remain in the bowl. Lay the shrimp flat on one side, and cook for 1-2 minutes before flipping. Cook on the other side for 1-2 minutes until the tail is pink and the shrimp are translucent (you may need to cut into them to see if needed). Be careful to not overcook.
Remove from the pan and serve with rice and parsley garnish, as desired.