In a shallow dish, toss the asparagus with the oil to coat well. Sprinkle with salt and pepper and toss to coat.
Place the asparagus on the grill in a single layer, and cook, turning occasionally, until tender, about 12 to 15 minutes (5-8 minutes if thinner). Drizzle with the lemon and orange juice.
Transfer to a platter and sprinkle orange and lemon zest on top.