In a small bowl stir together herbs, vinegar, oil, garlic, salt, and cayenne pepper. Brush eggplant, sweet peppers, and onions with some of the herb mixture.
For a charcoal grill, grill vegetables on the rack of an uncovered grill directly over medium coals for 8 to 12 minutes or until crisp-tender, turning and brushing once with some of the herb mixture halfway through grilling. (For a gas grill, preheat grill. Reduce heat to medium. Place vegetables on grill rack over heat. Cover and grill as directed.)
Transfer vegetables to a serving dish; toss with the remaining herb mixture. Serve warm or at room temperature.