Heat a large nonstick skillet coated with cooking spray over medium-high heat. Add bell pepper and shrimp; saute 7 minutes or until shrimp are done. Add tomato and onions; cook 3 minutes, stirring frequently. Remove from heat; keep warm.
Bring milk and broth to a boil in a large saucepan over medium-high heat; gradually stir in grits. Cover, reduce heat to low, and simmer 5 minutes or until thick, stirring occasionally. Add cheese and Worcestershire, stirring until cheese melts. Serve shrimp mixture over grits.