Make 3 dipping stations: a plate for flour, salt and pepper, a bowl for the egg and milk (whisked together), and a bowl for the breadcrumbs.
First coat the mushrooms in the flour. Then dip them in the egg mixture, shaking off any excess. Then roll them in the breadcrumbs. Complete the breading process for all the mushrooms.
Set the mushrooms in the air fryer basket, spaced out a bit. Spray evenly with oil. Air Fry at 400° F (200° C) for10-12 minutes, depending on your preferred level of crispiness, carefully shaking the basket at the halfway point.
Notes
Use finely ground breadcrumbs for a more even coating.
There's no need to spray store-bought breaded mushrooms before putting them in the air fryer.
Mushrooms can be cooked from frozen. They will need an extra 2 minutes to cook through.
Choose mushrooms of a similar size, this will endure the mushrooms cook evenly.
It's best to space these out in the air fryer and not over lap them. They will cook better with space in between.
You can use what ever cooking oil spray you like, but it needs to be a fine mist so it coasts the mushrooms evenly without ruining the breading.
All air fryers have different wattage and may cook at different rates. You may need to adjust the time or temp for the best results.