Trim the ends eggplant, zucchini and yellow squash and slice them thinly horizontally. Seed and remove the stems on the bell peppers. Slice them in half so you have square shaped pieces, about 1 inch wide. Trim off the stems from the mushrooms and using a small spoon, scrape out and discard the black gills. Remove the outer layer of the pearl onion to expose the shiny skin.
Combine all of the vegetables in a large bowl, drizzle with the olive oil, add some thyme and season with sea salt and pepper. Toss to coat the vegetables evenly. Let stand for 15 to 20 minutes to allow the vegetables to release some of their juices. Toss again just before grilling.
While your vegetables rest, you will want to prep your grill but getting it really hot and oiling the grill rack. Working in batches, place the vegetables on the grill rack and cook, turning once, until blistered black and tender - about 4-5 minutes per side.
Once done, transfer the vegetables to a platter. Drizzle with olive oil and season well with sea salt and pepper. Now comes the hardest part, arranging them! Starting with the eggplant, make a circle around the platter. Next up is the pearl onions, then the peppers and lastly the zucchini in the middle. Then serve!