Preheat grill over medium heat. Brush both sides of each mushroom cap with olive oil. Grill 5 minutes per side.
While mushrooms are grilling, pour 1/4 cup marinara in each of 2 oven-safe bowls or au-gratin dishes. Top with 1/2 cup bell peppers. Preheat oven to 400.
Add 1 cooked mushroom to each bowl. Top with remaining sauce and both cheeses.
Bake at 400 for 10 minutes or until cheese is melted and golden.