In a small bowl, soak okra in egg for 5 to 10 minutes. In a medium bowl, combine cornmeal, salt, and pepper.
Heat oil in a large skillet over medium-high heat. Dredge okra in the cornmeal mixture, coating evenly. Carefully place okra in hot oil; stir continuously. Reduce heat to medium when okra first starts to brown, and cook until golden. Drain on paper towels.