Gather all ingredients.

Make dipping sauce: Combine mayonnaise, horseradish, ketchup, paprika, salt, black pepper, and cayenne pepper in a small bowl; refrigerate until needed.

Prepare blooming onion: Beat milk and egg in a large bowl deep enough to dunk onion.

Combine flour, salt, cayenne pepper, black pepper, garlic powder, thyme, oregano, and cumin in a separate bowl.

Cut 3/4 to 1 inch off top and bottom of onion and remove skin. Remove the 1-inch diameter core from middle of onion.

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

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

Spread petals apart, dip in milk mixture, then coat well with flour mixture.

Separate petals again and sprinkle flour mixture between them.

Dip into milk mixture and flour mixture again. Place battered onion in the refrigerator for at least 15 minutes while you preheat oil.

Pour enough oil to cover onion into a deep fryer or deep pot. Heat oil to 350 degrees F (175 degrees C). Fry onion right-side-up in hot oil until golden brown, about 10 minutes.

Drain on a rack or paper towels. Open center of onion wide enough to fit the bowl of dipping sauce and serve warm.