Preheat oven to 400°.
Heat a small nonstick skillet over medium-high heat. Coat pan with cooking spray. Add minced shallots and minced garlic; sauté 2 minutes or until tender. Place shallot mixture in a medium bowl.
Remove stems from mushrooms; chop stems. Add chopped mushroom stems, breadcrumbs, chopped parsley, salt, freshly ground black pepper, and smoked cheddar cheese to shallot mixture; toss with a fork until blended. Add olive oil and 1 teaspoon water; stir well to combine.
Spoon about 1 teaspoon filling into each mushroom cap. Arrange mushrooms, filling side up, on a baking sheet. Bake at 400° for 20 minutes or until filling begins to brown and cheese melts. Serve warm.