Preheat a grill to medium-high heat. If using a grill basket, place it on the grill while preheating. Or, fold a large piece of aluminum foil in half and fold up a 1-inch rim around the edge to make a tray. Poke several holes in the bottom of the foil with a fork.
Place the peppers and onions in a bowl with the olive oil, salt and pepper. Mix to coat well.
Grill in the grill basket or foil try for 15 to 20 minutes or until tender, turning the vegetables a few times to ensure even cooking.
Notes
Store leftovers in the refrigerator for up to 2 days.