Preheat oven to 400 degrees F.
Coat a baking sheet with olive-oil spray and set aside. Place egg whites and bread crumbs in separate shallow bowls. Add mozzarella cheese to egg whites and turn to coat. Transfer to bread crumbs and turn to coat, gently pressing crumbs into cheese to cover completely. Arrange mozzarella sticks on prepared baking sheet; spray with olive oil. Bake 5 minutes, until golden brown.
Meanwhile, whisk together mayonnaise, ketchup and horseradish. Serve with warm mozzarella sticks