Preheat your oven to 425 F. Line a baking sheet with parchment paper.
Cut zucchini into fries. Dry well with a paper towel.
Into a small ziplock bag, add the flour and zucchini fries. Toss to coat.
In a small mixing bowl, whisk up the egg with milk, salt and pepper. Separately, combine the bread crumbs with your favorite spices and parmesan cheese, if using the plain kind.
Prepare your working station. From left to right, place zucchini, egg mixture, and the bread crumbs.
One by one, dip zucchini fries into the egg mixture, and then coat in bread crumbs. Place zucchini onto prepared baking sheet.
Bake for 20-25 minutes, flipping half way through.