Brush each side of the vegetables with olive oil and season with salt and pepper. Spread vegetables on a greased baking sheet and place under the broiler for 7-8 minutes or until vegetables are tender, turning once.
Spread Basil pesto on one side of each slice of bread. Place the vegetables and cheese over the pesto on 4 of the slices. Top with the remaining bread. Brush outside of the sandwich with olive oil. Cook in a panini press or in a heavy skillet over medium heat until golden brown and the cheese is melted.