Preheat oven to 400 degrees. In a large bowl, add the shrimp, sausage, zucchini, yellow squash, asparagus, bell pepper and salt and pepper. Add olive oil and cajun seasoning and toss until coated.
Spread evenly onto a sheet pan. Bake in the preheated oven for 15-20 minutes or until shrimp is pink and vegetables are tender.