Combine chicken broth, water, and Cajun seasoning in a large stock pot and bring to a boil. Reduce heat to medium; add chicken. Cook until chicken is no longer pink in the center and juices run clear, 20 to 30 minutes. Remove chicken and set aside to cool slightly. Cut into bite-sized pieces.
Microwave sausage to remove some of the grease, 1 to 2 minutes.
Meanwhile, bring chicken broth mixture back to a boil.
Heat vegetable oil in a large skillet over medium heat. Slowly add flour, stirring constantly, until golden brown, about 5 minutes. Add mixture to boiling stock.
Place chicken, sausage, shrimp, onion, and bell pepper into stock pot. Reduce heat to medium-low and cook, stirring occasionally until vegetables are tender and meat is cooked through, about 30 minutes. Add okra; cook until softened, about 30 minutes more.
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