In a small saucepan, bring the water and sea salt to a boil.
Whisk in the corn grits, then reduce the heat to low, cover, and simmer for 15 to 20 minutes until the liquid is absorbed and the grits are tender.
While the grits cook, heat the olive oil in a large skillet over medium-high heat.
Add the diced yellow onion and bell peppers to the skillet, sautéing for 4 to 5 minutes until they begin to soften.
Season the shrimp with the Cajun seasoning and black pepper, then add them to the skillet along with the minced garlic.
Cook the shrimp for 2 to 3 minutes per side until they are pink, opaque, and slightly charred.
Once the grits are finished, remove them from the heat and stir in the Greek yogurt until the texture is smooth and velvety.
Divide the creamy grits into bowls and top with the Cajun shrimp and vegetable mixture.
Garnish with fresh chopped parsley before serving.