Heat oil in a large skillet over medium-high heat. Add the peppers and onions and sprinkle with a large pinch of salt and pepper. Cook, stirring occasionally, until the vegetables are tender and starting to brown. Add the salsa and shrimp. Cook, stirring, until the shrimp are pink, about 3-4 minutes.
While the vegetables are cooking, bring 4 cups water to a boil. Add a pinch of salt and slowly stir in the grits. Reduce heat to medium-low and continue to cook, stirring occasionally, until thickened, about 5 minutes. Take off the heat and stir in the cheese.
Spoon the grits into shallow bowls, top with the shrimp mixture, garnish with cilantro, and serve.