Preheat your oven to 350°F. Spray a baking dish with non-stick cooking spray and set it aside.
In a medium saucepan, combine the chicken broth, milk, salt and cayenne pepper. Bring the mixture to a simmer. Slowly whisk in the grits, stirring continuously. Allow the grits to cook for about 20 minutes until they thicken and become creamy. Remove from heat and let the mixture cool slightly.
Stir in the butter, sharp cheddar and pepper jack cheeses until they melt. Once the cheese is fully incorporated, mix in the lightly beaten egg. Transfer the mixture to your prepared baking dish.
Bake the grits for 60 minutes or until the top is golden brown and set. While the grits bake, prepare the shrimp topping.
In a large skillet, cook the bacon over medium heat until it’s crispy. Remove the bacon and drain on paper towels, but leave about 4 tablespoons of bacon fat in the skillet.
Add the diced onion and sliced bell pepper to the skillet and cook until they’re softened, about 5 minutes. Stir in the minced garlic and cook for another minute.
Turn off the heat and stir in the flour until well combined. Turn the heat back on low, and add the white wine and chicken broth. Whisk constantly until the sauce thickens, then bring it to a simmer.
Add the shrimp, parsley, thyme, black pepper, cayenne pepper, corn niblets and heavy cream. Let the mixture simmer for a few minutes until the shrimp are fully cooked.
Once the shrimp are cooked through, spoon the shrimp mixture over the baked grits. Sprinkle the top with sliced green onions and the crispy bacon pieces.
Let the casserole cool slightly before serving. Enjoy this Southern classic’s rich, comforting flavors with friends and family!