Preheat grill to medium-high. Cut six 14-inch lengths of heavy-duty foil. Coat 1 side of each piece of foil with cooking spray.
Combine shrimp, okra, tomatoes, onion, oil, garlic and Cajun seasoning in a large bowl; stir to coat thoroughly. Evenly divide the mixture among the foil sheets (place on the side coated with cooking spray), arranging the shrimp atop the other ingredients. Gather together the long ends of each foil piece, then fold up its open sides to form a packet.
Place the packets on the grill. Cook until the vegetables are tender and the shrimp is opaque, about 12 minutes.