In a bowl, add together the olive oil, 2 tbsp of thyme, the ancho chili powder, and the garlic and whisk together until mixed well.
Add your shrimp to the marinade, as is or on skewers, and leave in the refrigerator for up to 8 hours.
When you’re ready to grill, set the temperature to 350F.
Once your pellet grill has reached temperature, remove your shrimp from the marinade and season with salt and pepper.
Place the shrimp on the grill and cook for a maximum of 3 minutes on each side, until just golden brown.
Remove the shrimp from the grill and serve with whatever you fancy, making sure to sprinkle over the remaining thyme leaves as garnish. Enjoy!