Gather all ingredients.

Make sauce: Mix mayonnaise, horseradish, ketchup, paprika, cayenne, salt, oregano, and black pepper together in a medium bowl until well combined. Cover and store in the refrigerator until needed.

Make coating: Beat milk and egg together in a medium bowl until well combined.

Mix flour, salt, cayenne pepper, paprika, black pepper, oregano, thyme, and cumin together in a separate bowl. Set both bowls aside.

Prepare onion: Slice 1 inch off of the top and bottom of onion and remove the papery skin.

Remove a 1-inch diameter core from middle of onion, leaving the very bottom of the root end intact.

Use a large, sharp knife to slice down center of onion about 3/4 of the way down; turn onion 90 degrees and slice again.

Keep slicing each section in half until you have 16 sections, being careful not to cut through bottom of onion.

Spread “petals” apart. (To help keep them separate, you could plunge onion into boiling water for 1 minute and then into cold water to stop the cooking.)

Dip onion into milk mixture and then coat well with seasoned flour mixture, separating the petals and sprinkling the flour mixture between them.

Dip onion back into milk mixture, then coat with flour mixture again to ensure all pieces are well coated.

Heat oil in a deep fryer or deep pot to 350 degrees F (175 degrees C). Make sure you use enough oil to completely cover the onion when it fries. Lower onion, cut-side up, into the hot oil and fry until golden brown, about 10 minutes.

Drain on a rack or on paper towels.

Open center of onion wide enough to fit the bowl of dipping sauce and serve.