Make the sauce: Mix the mayonnaise, horseradish, ketchup and Cajun seasoning in a bowl; set aside.
Fry the pickles: Heat 1 inch peanut oil in a pot over medium-high heat until a deep-fry thermometer registers 375 degrees F. Meanwhile, whisk the flour, Cajun seasoning, Italian seasoning, cayenne pepper , 1/2 teaspoon salt and 1/2 cup water in a large bowl until smooth. Spread the pickles on paper towels and pat dry.
Add half of the pickles to the batter and toss to coat. Remove from the batter using a slotted spoon, letting the excess drip off, and add to the oil one at a time. Fry until golden brown, 1 to 2 minutes; remove with a slotted spoon and drain on paper towels. Return the oil to 375 degrees F and repeat with the remaining pickles and batter. Serve immediately with the prepared sauce.
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