According to culinary legend, shrimp cocktail sauce dates back to just after the California Gold Rush. Despite that, the sauce didn’t gain much popularity until Prohibition.
An entry from a 1926 collection, "Mrs. Allen on Cooking, Menus, Service," lists instructions for making a general "savory cocktail" sauce.
Mrs. Allen notes that the dish should be served in a cocktail glass, referencing how Prohibition-era restaurants used their then-empty drinkware.
Cocktail appetizers presented this way, centering on shrimp, fruit, or other snackable bites, were commonplace when alcoholic drinks could no longer be legally served.