Preheat an oven to 500 degrees F (260 degrees C). Grease a baking sheet with olive oil.
Mix egg and water together in a wide bowl. Mix bread crumbs and Parmesan cheese together in a separate bowl.
Melt butter with sherry, Worcestershire sauce, Dijon mustard, and garlic in a small saucepan over medium heat; cook until slightly thickened, about 5 minutes.
Dip chicken breasts into the beaten egg to coat. Press the dipped breasts into bread crumbs and gently toss between your hands so any bread crumbs that haven't stuck can fall away. Arrange onto the prepared sheet. Drizzle sherry-Dijon sauce over the breaded chicken breasts.
Bake on a rack in the top third of the preheated oven until no longer pink in the center and the juices run clear, 5 to 7 minutes. An instant-read thermometer inserted into the center should read at least 165 degrees F (74 degrees C).