01 - Set oven to 375°F. Prepare for baking the peppers.
02 - Arrange bell peppers upright in a baking dish, lightly brush with olive oil, and bake uncovered for 10 minutes until softened. Remove from oven and set aside.
03 - Heat 1 tablespoon olive oil in a large skillet over medium heat. Sauté diced onion until translucent, about 3 minutes. Add minced garlic and continue to cook for 1 minute.
04 - Add chopped shrimp to the skillet and cook until just pink, 3 to 4 minutes. Stir in chopped spinach and sauté until wilted, about 1 minute. Remove from heat.
05 - In a saucepan over medium-low, melt butter. Add heavy cream and simmer for 2 to 3 minutes. Stir in Parmesan cheese, salt, black pepper, and nutmeg. Cook, stirring, until sauce thickens, 2 to 3 minutes.
06 - Add cooked white rice and Alfredo sauce to the shrimp and vegetable mixture. Thoroughly mix until fully combined.
07 - Spoon shrimp Alfredo filling evenly into pre-baked bell peppers. Sprinkle mozzarella cheese over each filled pepper.
08 - Cover baking dish with aluminum foil and bake for 20 minutes. Remove foil and bake an additional 10 minutes, or until cheese is golden and peppers are tender.
09 - Allow peppers to cool for 5 minutes. Garnish with chopped parsley and serve warm.