In a medium bowl, toss shrimp with Cajun seasoning. Heat oil in a medium pan over medium-high heat and add shrimp. Cook until shrimp just begins to turn pink, about 2 minutes. Be careful not to overcook. Remove from pan and set aside.
Melt butter over medium heat in a large skillet. Add flour and cook until the flour is golden brown or a rich, peanut butter color while stirring frequently. Take your time and be careful not to burn the roux.
Add onions, red and green bell peppers, celery, thyme, and garlic, and cook the vegetables over medium-low heat, stirring occasionally, until slightly softened.
Stir in the broth/stock a bit at a time while stirring. Be careful to avoid lumps.
Add tomatoes, Worcestershire, and bay leaves and return to a boil. Reduce heat to low and simmer uncovered for about 20 minutes, or until the gravy reaches a creamy consistency. Season with salt and pepper to taste.
Add the shrimp and cook just until it’s heated through. Stir in half of the green onions and parsley.
Serve over warm grits and garnish with remaining green onions and parsley. If you’d like it to be a bit spicier, add hot sauce to taste.