Combine the orange juice from one of the oranges, lemon juice, olive oil, shallots, kosher salt, and black pepper in a container with a tight-fitting lid and shake it vigorously to combine.

Reserve half of the vinaigrette for dressing the salad and pour the remaining into a medium nonreactive bowl.

Put the shrimp in the bowl, season with salt and pepper, and toss; let sit for about 30 minutes.

Prepare your outdoor grill or heat a grill pan over medium-high heat.

Grill the shrimp until just cooked through and opaque, about 1.5 minutes per side. Transfer to a plate.

Divide baby greens on four plates, top with sliced fennel, oranges, avocados, and shrimp.

Season with salt and pepper to taste and drizzle with the remaining vinaigrette, about 2 tbsp per salad.