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Step 1
Add bamboo skewers to a bowl and cover completely with cold water. Soak bamboo skewers at least 30 minutes (or start them the day before and let them soak overnight).
Step 2
In a bowl or zipper-top plastic bag big enough to hold all the vegetables, add olive oil, garlic, thyme, and lemon zest and stir or mash to combine. Add zucchini, mushrooms, onion, and bell pepper and toss to coat.
Step 3
Building one skewer at a time, thread one piece zucchini, one whole mushroom, one onion chunk (2 layers), and one pepper chunk on to a skewer, pushing to the end with the handle.
Step 4
Repeat with additional vegetables until the skewer is full, then repeat with additional skewers until all vegetables have been skewered. Season generously with salt and pepper (I use at least 1 teaspoon kosher salt and 1/2 teaspoon pepper).
Step 5
Preheat grill over medium-high heat for 10 minutes and clean and oil grates. Grill the skewers directly over high heat for 5 minutes. Turn the skewers over and continue grilling until they are nicely grill-marked and tender crisp, 3 to 5 minutes longer. Do not overcook.
Step 6
Transfer to a platter, squeeze fresh lemon juice over the top, and garnish with fresh parsley.