Toss mushrooms, asparagus, and zucchini with olive oil, balsamic vinegar, soy sauce, lemon juice, garlic, salt, and pepper in a bowl or zippered bag. Allow to marinate for 20 to 30 minutes.
Preheat grill to medium high.
Add the vegetables to the grill and cook 7 to 12 minutes turning occasionally and removing vegetables to a plate as they are cooked.
Notes
You may use a zippered plastic bag to marinate veggies instead of a bowl.
Use a grill basket to prevent veggies from slipping through the grates.
Cut vegetables into similar sizes for even cooking, especially if using skewers or a grill basket.
If using wooden skewers, soak in water for 30 minutes before use to prevent them from charring or catching fire.
As you remove the cooked vegetables, wrap them in foil to keep them warm. Just before serving, pop the open wrap back on the grill or under a broiler to reheat and crisp up the edges.
Veggies will keep in a covered container in the refrigerator for about 2 to 3 days. Reheat in a foil wrap, or use leftovers in other recipes.