Preheat a gas or charcoal grill.
Thread the sausages, red and green bell pepper pieces, and onions alternately onto the skewers. Grill the brochettes until the sausage is cooked through and the vegetables are lightly charred, turning occasionally, about 8 to 12 minutes. Meanwhile, place the polenta squares on the grill and cook until warmed through and marked by the grill, about 2 to 3 minutes per side.
Remove the brochettes and grilled polenta from the grill. With the prongs of a fork, slide the sausages and vegetables from the skewers and serve on top of the grilled polenta squares.