Combine Cajun seasoning, olive oil, lemon juice, and Worcestershire sauce in a small bowl and blend well. Place shrimp in a large resealable bag and add the marinade. Seal the bag while removing as much air as possible. Shake the bag to ensure the shrimp are completely coated. Refrigerate for at least 4 hours or overnight.
Preheat grill to 400°F. Remove shrimp from the marinade and pat dry. Cut Andouille sausage into rounds approximately the same thickness as the shrimp (1/4–3/8-inches thick).
Assemble the kabobs by placing two skewers side-by-side (this will help keep the ingredients from rotating on the skewers) then threading one shrimp, a slice of Andouille, a second shrimp, and a second slice of Andouille. Repeat until you have 12 kabobs.
Place kabobs onto the grill and cook for 4–5 minutes until ingredients are lightly charred and the shrimp have turned pink. Remove the kabobs from the grill and serve immediately.