Preheat grill to 350° to 400° (medium-high) heat. Stir together olive oil and next 4 ingredients in a small bowl.
Rinse fennel thoroughly. Trim and discard root end of fennel bulb. Trim stalks from bulb, reserving fronds for another use. Cut bulb in half vertically, and remove core. Cut bulb into 1/2-inch-thick slices.
Toss fennel, onion, and mushrooms with half of olive oil mixture, and place in a grill wok or metal basket.
Grill, covered with grill lid, 10 minutes over 350° to 400° (medium-high) heat. Toss tomatoes, zucchini, and yellow squash with remaining olive oil mixture. Add to grill wok or basket. Grill, covered with grill lid, stirring occasionally, 10 to 15 minutes or until vegetables are tender. Serve immediately.