Tear the bread into very small pieces; transfer to a bowl, add enough milk to moisten well, let soak for 10 minutes. Squeeze dry and place in a bowl, discarding the milk. Add the shrimp, mashed potatoes, fennel, and salt and pepper, mix with your hands till well blended and smooth, and form the mixture into 1-inch balls.

In a deep fryer or electric frypan, heat about 2 inches of oil to 365°F on a deep-fat thermometer, drop the balls into the oil in batches, fry till golden brown, about 2 minutes, and drain on paper towels.

Serve at once.