Cut stems off the mushrooms and discard the stems. Wash and pat the mushroom caps dry. Place in a zip top plastic bag.
Combine horseradish, lemon peel, lemon juice, olive oil, salt and pepper in a bowl. Whisk together. Pour over the mushrooms. Seal the bag. Marinate for 30 minutes, turning the bag once.
Remove the mushrooms from the marinade. Grill mushrooms over medium heat on a charcoal or gas grill for about 10 – 20 minutes, turning once.
Makes a great appetizer or side dish.