If using wooden skewers, soak them in water for at least 20 minutes to prevent burning.
Cut the red bell pepper, zucchini, and red onion into 1-inch chunks suitable for skewering.
In a large mixing bowl, whisk together the olive oil, lime juice, chili powder, cumin, garlic powder, sea salt, and black pepper.
Add the peeled and deveined shrimp and the chopped vegetables to the bowl, tossing thoroughly to ensure everything is coated in the marinade.
Thread the shrimp and vegetables onto the skewers, alternating between the shrimp and various vegetable pieces.
Preheat a grill or a cast-iron grill pan over medium-high heat.
Place the skewers on the grill and cook for 3-4 minutes per side, or until the shrimp is pink and opaque and the vegetables have developed light char marks.