To make the sauce, mix in a small bowl the mayonnaise, ketchup, horseradish and Cajun seasoning. Set aside for later.
Heat 1-inch oil in a pot over medium-high heat, meanwhile prepare the batter.
In a medium bowl whisk the flour, Italian seasoning, Cajun seasoning, cayenne pepper, salt and water until smooth.
Spread the pickles on paper towels and pat dry. Add the pickles to the batter and toss coat.
Add the pickles to the oil one at a time. Make sure to use a slotted spoon to remove it from the batter to let the excess drip off. You can also use a fork to easily pinch the pickles.
Fry the pickles until golden brown and make sure not to burn it. Remove from the oil and drain on paper towels.