In a large skillet, heat the olive oil over medium heat. Add the sliced Andouille sausage and sauté for about 5 minutes, or until the sausage is browned and slightly crispy.
Next, add the diced onion and minced garlic to the skillet. Sauté for another 2-3 minutes, or until the onion is translucent and fragrant.
Now, add the chopped red and green bell peppers, sliced mushrooms, and okra to the skillet. Sauté for an additional 5 minutes.
Sprinkle the Cajun seasoning over the mixture and stir well to coat all the ingredients evenly. Let the flavors meld together for about 1 minute.
Toss in the peeled and deveined shrimp. Cook for 3-5 minutes, or until the shrimp turn pink and opaque.
Pour in the chicken broth and bring the mixture to a gentle simmer. Then, add the heavy cream and stir until well combined. Allow it to simmer for another 5 minutes.
Finally, stir in the grated parmesan cheese until melted and incorporated into the sauce. Taste and adjust seasoning if necessary.
Serve the Cajun Shrimp and Sausage hot over rice, pasta, or with crusty bread. Garnish with fresh parsley if desired.