CHILI POWDER MIXTURE: In a small bowl, combine chili powder, cumin, oregano, paprika, 1 teaspoon salt and 1 teaspoon pepper.
Preheat oven to 425 degrees F. Lightly oil a baking sheet or coat with nonstick spray.
Place into oven and bake for 10 minutes, or until the vegetables are beginning to soften.
Place bell peppers, onion and garlic in a single layer onto the prepared baking sheet. Stir in 2 tablespoons olive oil and half the CHILI POWDER MIXTURE; gently toss to combine.
Working carefully, move vegetables onto one side of the baking sheet. Place shrimp onto the opposite side of the baking sheet in a single layer.