In a large pot, heat the vegetable oil over medium heat.
Add the flour and stir continuously to create a roux, cooking until it reaches a dark brown color.
Add the chopped onion, bell pepper, and celery (the 'holy trinity') and sauté until softened.
Stir in minced garlic and cook for another minute.
Gradually add the chicken broth, stirring to combine.
Bring the mixture to a simmer, then add the sliced sausage.
Season with Cajun seasoning, Worcestershire sauce, salt, and pepper.
Allow to simmer for 30 minutes, stirring occasionally.
Add the okra and shrimp, cooking until the shrimp are pink and cooked through.
Serve hot over cooked rice.