In a deep skillet, heat 1 inch water over high heat until boiling. Add the asparagus and cook until crisp-tender; drain.
In a shallow dish, beat the egg and milk until well combined. Place bread crumbs in another shallow dish.
Heat olive oil over medium-high heat in a skillet until hot. Dip asparagus in egg mixture then into bread crumbs, coating completely. Sauté asparagus in hot oil until golden. Drain on a paper towel-lined plate and serve immediately.
NOTE: Sprinkle with grated Parmesan cheese just before serving, if you'd like.