In a large pot, heat 1 tablespoon of the vegetable oil over medium-high heat. Add the sausage in batches and cook until well browned, about 8 minutes. Remove the sausage with a slotted spoon and drain on paper towels. Set aside.
Season the chicken with the Cajun seasoning and add in batches to the fat remaining in the pan (add more oil if needed). Cook over medium-high heat until well browned, 5 to 6 minutes. Remove the chicken from the pan, let cool, and then refrigerate until ready to use.
Deglaze the pan with a little red wine. Combine the remaining 1/2 cup oil and the flour in the same pot over medium heat. Cook, stirring slowly and constantly for 20 to 25 minutes, to make a dark brown roux, the color of chocolate.
Add the onions, celery, and bell peppers and cook, stirring, until wilted, 4 to 5 minutes. If it starts to stick, add some red wine, dont let it burn. Add the reserved sausage, salt, cayenne, and bay leaves, stir, and cook for 2 minutes. Stirring, slowly add the chicken stock, and cook, stirring, until well combined. Bring the mixture to a boil. Reduce the heat to medium-low and cook, uncovered and stirring occasionally, for 1 hour.
Add the reserved chicken to the pot and simmer for 1 1/2 hours, skimming off any fat that rises to the surface. Season with File powder to taste.
Remove the pot from the heat. Using a slotted spoon, remove the chicken thighs from the gumbo and place on a cutting board to cool slightly. Remove and discard the bay leaves. Pull the chicken meat and shred, discarding the skin. Return the meat to the gumbo and add the okra, then the shrimp, the green onions, parsley.
Serve over rice.
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