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Preheat a well-oiled grill to medium-high heat. Wash and dry produce.
Cut broccoli into bite-size pieces if necessary. Halve, core, and thinly slice bell pepper into strips. Halve, peel, and thinly slice onion. Dice sweet potatoes into 1⁄2-inch pieces.
OVEN ALTERNATIVE: Adjust racks to top and middle positions; preheat oven to 450 degrees.