Toss all the veggies with some oil and sprinkle with salt and pepper. Lay on grill in a single layer, turning once char marks appear. Because the veggies have different cooking times, start with the peppers and onions. Once they start to soften add the zucchini and mushrooms. That way everything will be done at the same time.
For the relish, combine all ingredients until thoroughly mixed. If you can, make this an hour ahead of time to allow the flavors to blend and the mixture to warm to room temperature.
Serve the relish over the grilled veggies, or on the side.