Put all of the chicken marinade ingredients together and reserve half for the chicken once it's grilled. Put the chicken in the marinade and keep it in the fridge for several hours or over night.
Cut the vegetables into large pieces and place in a bowl. Drizzle the vegetables with olive oil and season with salt and pepper.
When ready to cook, place the vegetables on the skewer sticks. Place the chicken on skewers as well. Heat a hot grill and place the vegetables and chicken on their to grill. Cook the vegetables until tender and then remove from the grill.
Grill the chicken until no longer pink in the center. While the chicken is cooking, prepare the yogurt sauce. For the sauce, combine all of the sauce ingredients together and mix well. Serve the grilled chicken and vegetables with the yogurt sauce for dipping.