Start by measuring out all your ingredients. Having everything on hand will make the process smoother.
In a medium mixing bowl, add the mayonnaise and ketchup. Using a whisk or spoon, mix them together until well combined and smooth.
Incorporate the Worcestershire sauce, pickle brine, paprika, and cayenne. Stir until all ingredients are thoroughly mixed.
Taste your fry sauce and adjust the flavors according to your preference. You can add more pickle brine for tang or cayenne for heat.
For the best flavor, let the sauce chill in the refrigerator for at least 30 minutes before serving.