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Preheat the Air Fryer: Set your air fryer to 400°F (200°C) and allow it to preheat while you prepare the shrimp and vegetables.
Marinate the Shrimp: In a large bowl, combine the shrimp with olive oil, salt, Southwest chipotle seasoning, garlic, and black pepper. For an extra punch of flavor, squeeze the juice from the lime over the shrimp. While marinating for 30 minutes is optional, it helps to intensify the flavors.
Add the Vegetables: Toss the prepared vegetables (zucchini, yellow squash, red bell pepper, onion, and mushrooms) into the bowl with the marinated shrimp. Mix until everything is evenly coated with the marinade.
Cook in Batches: Place half the shrimp and vegetable mixture into the air fryer basket. Cook for 8 minutes, shaking the basket at least once or twice during the cooking process to ensure even cooking. If you prefer a more charred texture, add an additional 1–2 minutes of cook time.
Finish and Garnish: Remove the cooked shrimp and vegetables from the air fryer and transfer them to a serving dish. Repeat the process with the remaining batch. Garnish with freshly chopped parsley and serve with lime wedges for an extra zesty kick.