Prep the Chicken: Season the chicken thighs with salt, black pepper, and a sprinkle of Cajun seasoning. Allow them to marinate for about 15 minutes.
Grill the Chicken: Preheat a charcoal grill to medium-high heat. Grill the chicken for about 7–10 minutes per side, until nicely charred and cooked through. Once done, set aside to rest for 10 minutes, then shred the meat, discarding the skin and bones.
Cook the Sausage: In a large pot, heat vegetable oil over medium heat. Add the sliced andouille sausage and cook until browned, about 5 minutes.
Sauté the Vegetables: To the pot, add diced onion, bell pepper, celery, and garlic. Sauté until softened, about 5–7 minutes.
Combine Ingredients: Stir in the canned tomatoes, chicken broth, Worcestershire sauce, Cajun seasoning, thyme, and bay leaf. Bring the mixture to a boil.
Simmer the Gumbo: Reduce heat and let it simmer uncovered for 30 minutes, stirring occasionally.