In a large saucepan, add the olive oil, garlic, celery, and bell pepper, and over medium heat, saute the garlic, celery, and red pepper until softened, about 3-5 minutes.
In a small bowl, add the sauteed vegetables, add the crackers, cheese, crab meat, Old Bay Seasoning, egg, mix well.
Spoon the crab mixture into the hollowed-out mushroom.
Spray your basket with olive oil spray, and then place your stuffed mushrooms into the air fryer basket. Set the temperature to 350 degrees F, and set the timer for 7 minutes.
Sprinkle the cheese onto the mushrooms and air fry for another 2-3 minutes, just long enough for the cheese to melt.
Plate, serve, and enjoy!