Preheat your grill to medium-high heat. If using wooden skewers, soak them in water for at least 30 minutes to prevent burning.
In a large bowl, combine the shrimp, sausage, olive oil, Cajun seasoning, garlic powder, paprika, cayenne pepper, salt, and pepper. Toss until everything is well coated.
Thread the shrimp, sausage, bell peppers, and onion onto the skewers, alternating between the ingredients.
Place the skewers on the grill and cook for 2-3 minutes on each side, or until the shrimp are opaque and cooked through, and the sausage is heated.
Remove from the grill and let rest for a couple of minutes before serving.