Heat grill to medium-high. Once it is hot, clean the grill grate with a wire brush. Just before grilling, oil the grill grate.
Soak 8 skewers in water for at least 15 minutes.
Toss the sausage, fennel, bell pepper, olives, oil, ½ teaspoon salt, and ¼ teaspoon black pepper in a medium bowl. Thread onto the skewers and grill, turning occasionally, until the sausage is cooked through, 8 to 10 minutes.