In a small saucepan, bring the water and sea salt to a boil over medium-high heat.
Slowly whisk in the grits, reduce heat to low, cover, and simmer for 15-20 minutes until creamy and tender.
While the grits cook, heat the olive oil in a large skillet over medium-high heat.
Add the diced onion and bell pepper to the skillet, sautéing for 3-4 minutes until they begin to soften.
Toss the raw shrimp with the Cajun seasoning and black pepper in a small bowl to coat evenly.
Add the shrimp to the skillet and cook for 2-3 minutes per side until pink, opaque, and slightly charred.
Once the grits are fully cooked, remove from heat and stir in the Greek yogurt until completely smooth.
Spoon the creamy grits into a bowl, top with the sautéed Cajun shrimp and peppers, and garnish with chopped fresh parsley.