Preheat oven to 450 degrees. Coat a large, rimmed baking sheet with cooking spray.
Spread cornflake crumbs on a large plate. In a shallow bowl or pie plate, whisk together egg white, milk, flour, onion powder, salt and cayenne pepper until blended.
In batches, dip onion rings in egg mixture (letting excess drip off) and then dredge in cornflake crumbs, turning to coat both sides; place in a single layer on prepared pan.
Coat onion rings with cooking spray and bake, turning once, until onion rings are golden brown, about 12 minutes; sprinkle with additional salt and pepper before serving, if desired.