Combine bread crumbs, garlic powder, salt, pepper, and cayenne pepper in a bowl; set aside. Whisk egg and milk together in a separate bowl. Dip dill pickle spears into the egg mixture, then into the bread crumb mixture until well-coated. Dip the pickles in the egg and bread crumb mixtures a second time so each spear is double coated. Arrange pickles in a single layer on a baking sheet. Place the baking sheet in the freezer until the breading is set, about 30 minutes.
Heat oil in a deep-fryer or large saucepan to 350 degrees F (175 degrees C).
Fry the pickles in the preheated oil until light golden brown, 3 to 4 minutes. Drain on a paper towel-lined plate.