Preheat oven to 325 degrees and spray a 2-quart baking dish with cooking spray. Set aside.
Melt 1 tablespoon butter in a large skillet or pot. Add celery, mushrooms, and onion and cook until tender (approximately 7 minutes).
In a large bowl, combine cooked shrimp, cooked rice, and cooked vegetables.
In the same skillet that you used for the vegetables, prepare a cream sauce. Melt remaining 2 tablespoons butter; whisk in the flour to form a paste. Cook for 1 minute.
Whisk in milk, bring to a simmer, and allow to thicken while stirring (approximately 3 minutes). Remove from heat, stir in yogurt until completely combined.
Pour sauce over rice mixture and toss to coat. Transfer to prepared baking dish. Sprinkle with breadcrumbs and parsley.
Bake, uncovered, for about 30 minutes.