In a small saucepan, bring the water and sea salt to a boil over medium-high heat.
Slowly whisk in the stone-ground grits, then reduce the heat to low and cover the pan.
Simmer the grits for 15-20 minutes, stirring occasionally to prevent sticking, until they are tender and the liquid is absorbed.
While the grits are cooking, heat the olive oil in a large skillet over medium-high heat.
Add the diced bell pepper and yellow onion to the skillet and sauté for 3-4 minutes until the vegetables are softened.
Pat the shrimp dry and toss them in a small bowl with the Cajun seasoning and black pepper.
Add the seasoned shrimp to the skillet and cook for 2-3 minutes per side until they are pink and opaque.
Remove the skillet from the heat and stir in the lemon juice to brighten the flavors.
Once the grits are cooked, remove the saucepan from the heat and stir in the Greek yogurt until the mixture is smooth and creamy.
Divide the creamy grits into bowls, top with the zesty shrimp and vegetable mixture, and garnish with chopped fresh parsley.