Preheat oven to 400°F. You need 4 generous pieces of heavy-duty aluminum foil.
In the center of each piece of foil layer squash, zucchini, pepper, onion, and top the vegetables with the shrimp.
Sprinkle the seasonings equally over the vegetables and shrimp. Close and seal the foil.
Place each foil pack in a casserole dish or cookie sheet (with sides) in case of leaks.
For oven:
Bake 15 minutes and check. Cook 5 more minutes if necessary. The shrimp should be curled and opaque and vegetables are tender-crisp. Serve immediately. Serve by itself or over rice or pasta.
Remove foil packs from the oven and carefully open.
For grill:
Place foil packets onto grill and grill for 15 minutes check and cook 5 more minutes if necessary or until shrimp is opaque and vegetables are cooked to your liking.