In a small saucepan, bring water and sea salt to a boil.
Slowly whisk in the grits, reduce heat to low, cover, and simmer for 15-20 minutes until tender.
While grits cook, toss the shrimp in a bowl with Cajun seasoning and black pepper until evenly coated.
Heat olive oil in a large skillet over medium-high heat.
Add the bell pepper, onion, and celery to the skillet, sautéing for 4-5 minutes until softened.
Stir in the minced garlic and cook for 1 minute until fragrant.
Add the seasoned shrimp to the skillet and cook for 2-3 minutes per side until pink and opaque.
Once grits are done, remove from heat and stir in the Greek yogurt until the texture is velvety.
Stir lemon juice into the shrimp mixture.
Divide the creamy grits into bowls, top with the Cajun shrimp and vegetables, and garnish with fresh parsley.