Step 1

Prep. Trim the Brussels sprouts and halve them lengthwise. Place them, along with the olive oil, balsamic vinegar, salt, and pepper, in a large freezer bag. Seal the bag and shake to combine the ingredients.

Step 2

Fire up. Prepare a grill for 2-zone cooking. On a charcoal grill, place a chimney full of lit charcoal briquets to one side of the grill's charcoal grate in order to create direct and an indirect cooking zones. You want one side scorching hot and the other side at about 225°F. Add 2 to 3 chunks of your favorite smoking wood to the charcoal for flavor. On a gas grill, adjust the temperature knobs so that one half of the grill is as hot as possible and the other half is approximately 225°F.

Step 3

Add a vegetable grilling basket to the hot side of the grill and preheat it for 2 to 3 minutes.

Step 4

Cook. When the grilling basket is hot, add the Brussels sprouts to the basket. Cook until lightly charred, about 4 to 5 minutes, stirring frequently. Once charred, move the sprouts to the cooler side of the grill and set the cover on the grill. Continue cooking the Brussels sprouts until fork tender, about 10 minutes.

Step 5

Roll the slices of prosciutto tightly, then slice into ribbons. Add it and the fennel to the Brussels sprouts, and move the grilling basket back to the hotter side of the grill. Cook until the fennel has softened and the prosciutto has begun to crisp, 3 to 4 minutes, stirring frequently.

Step 6

Serve. Remove the basket from the grill and pour the Brussels sprouts, fennel, and prosciutto into a serving bowl. Serve immediately.