Prepare the grill for direct heat and preheat to medium.

With a sharp knife, make a deep cut lengthwise along the inside curve of the banana, being careful not to cut all the way through. Open the slit to form a pocket. Fill the banana with 1 teaspoon each chocolate chips, mini marshmallows, and pecans. Wrap the banana with a piece of foil, making sure to seal the edges well. (Repeat this step for the amount of servings you want for your cookout.)

Grill with the lid closed for 10 minutes. Unwrap the banana, top with caramel sauce, and serve.