Where did Shrimp Cocktail come from? I have read that it was invented in Boston, circa 1941 as a What can we get drunk people to eat contest sort of thing. The Cocktail sauce is dated back even earlier, as an accoutrement for oysters. You can buy you shrimp already cooked, but why? This method for cooking it is absolutely foolproof, and delicious Food Porn. I share with you a family keepsake of homemade cocktail sauce (well, almost).