Cut the courgette and eggplant into lengths of about 6cm - 7 cm (for medium-sized vegetables, you probably need to just cut them crosswise into two halves). Now slice them lengthwise into thick slices (just under 1cm thick). The capsicum should be halved lengthwise and then the white pith, stalk and seeds removed. Cut each half into 4cm widths, lengthwise.
Toss the courgette, eggplant, capsicum and mushrooms in a large bowl, drizzling them with enough olive oil to coat generously. Season with a little salt and freshly-ground black pepper.
Either grill the vegetables in a single layer under a hot grill (until they are slightly charred and tender) on both sides, or pan fry them in batches in a non-stick frying pan.
Cool for a few minutes before filling a lettuce-lined crusty roll or a section of baguette with the vegetables. If liked, drizzle in a little honey mustard mayonnaise.