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For the chicken: Whisk together buttermilk, pickle juice, and egg in a medium bowl until smooth. Add the chicken to the buttermilk mixture; cover and refrigerate for 30 minutes (or up to 4 hours.)
Remove the chicken from the refrigerator 10 minutes before frying. Stir together the flour, seasoned salt, black pepper, cayenne pepper, and 3 tbsp. of the chicken marinade in a medium shallow bowl until well combined (the mixture will be pebble-y). Working with one piece of chicken at a time, dredge the chicken in flour mixture, patting to coat. Shake off the excess flour, and transfer to a plate. Repeat with the remaining chicken.
Add oil to a large cast-iron skillet or Dutch oven to a depth of 1 1/2 inches. Heat over medium-high heat until the oil reaches 350°.
Preheat the oven to 200°.
When the oil is hot enough, fry the chicken in batches until golden brown on both sides, 3 to 4 minutes per side, being careful not to overcrowd the pan. (The internal temperature of the chicken should read 165° on an instant read thermometer when finished.) Transfer to a wire rack set over a rimmed baking sheet. Hold warm in the oven.
For the gravy: Discard the remaining oil in the skillet; wipe the skillet clean. Add the butter to the skillet; heat over medium heat until the butter melts. Sprinkle the flour over the butter; cook, whisking constantly, until the flour smells toasty and turns light golden brown, about 2 minutes.
Gradually add 3 cups of the milk, whisking to break up any clumps. Add salt and pepper, and bring to gentle simmer. Cook, whisking frequently, until the gravy is smooth and thickened, about 3 minutes. Add more milk, if needed; season with additional salt and pepper to taste.
Divide the chicken among plates; spoon over the warm gravy. Sprinkle with more pepper, if you like.