Grate your cheeses by hand using the large holes of a box grater. Pre-shredded cheese has anti-caking agents that will prevent the proper texture. (Cold cheese grates more cleanly than room temperature)
In a medium bowl, combine the mayonnaise with the minced onion, Worcestershire, and cayenne. Let this base sit for 5 minutes to allow the onion to soften slightly.
Add the grated cheeses and chopped pimientos to the mayonnaise mixture. Using a wooden spoon, fold everything together until just combined. The mixture should hold together but still have texture - avoid overmixing.
Taste and adjust seasoning. The spread should be creamy but not wet, with a gentle kick from the cayenne. Cover and refrigerate for at least 1 hour before serving to allow flavors to meld.
This keeps covered in the refrigerator for up to one week. Serve on toasted brioche for proper pimento cheese sandwiches, or with water crackers and celery sticks.
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