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Preheat your oven to 375°F (190°C). Lightly grease a medium-sized white ceramic baking dish (about 2 to 2 1/2 quarts) with a thin film of oil or butter to help prevent sticking.
Pat the chicken pieces dry with paper towels. This small step helps the sauce cling better and keeps excess moisture out of the baking dish.
Arrange the chicken pieces in an even layer in the bottom of the baking dish. The pieces can touch, but try not to pile them on top of each other so they cook evenly and stay tender.
In a small bowl or measuring cup, whisk together the heavy cream and 1 1/2 teaspoons of sweet paprika until the cream is evenly tinted a soft, rosy color. Taste a drop and adjust the paprika if you’d like a slightly deeper flavor.
Pour the paprika cream evenly over the chicken pieces, making sure all of the chicken is at least partially submerged. Gently shake the dish or nudge the chicken with a spoon so the cream can flow between the pieces.
Cover the baking dish tightly with foil and place it on the middle rack of the preheated oven. Bake for 25 minutes, or until the chicken is just turning opaque and the cream is warm and beginning to steam at the edges.
Carefully remove the dish from the oven and take off the foil, watching out for hot steam. Stir the chicken gently to redistribute the sauce and make sure nothing is sticking to the bottom.
Sprinkle the shredded cheese evenly over the top of the sauced chicken, covering as much of the surface as you can. Dust lightly with an extra pinch of paprika for color, focusing on any spots where the cheese is thinner.
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Return the uncovered baking dish to the oven and bake for another 15 to 20 minutes, or until the cheese is fully melted, bubbling around the edges, and lightly golden in spots, and the chicken is cooked through. The internal temperature of the largest piece should reach 165°F (74°C).
If you’d like a slightly deeper golden top, switch the oven to broil for 1 to 2 minutes at the end, watching constantly so the cheese doesn’t burn. Remove the dish as soon as the top is speckled with deeper brown bubbles.
Let the Chicken Madison rest for about 5 to 10 minutes before serving. The sauce will thicken slightly as it cools, giving you that velvety, spoonable texture. Serve straight from the baking dish, scooping generous portions of chicken, cream sauce, and cheese over your chosen side.
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