Cut the stems off of each Brussels sprout and discard. Cut the sprouts in half and place in a large bowl.
Toss with olive oil, garlic, salt and pepper.
Heat the grill to high. Then, reduce to medium-high. Place a vegetable grill basket on the grill and add in the sprouts. Close the lid.
Grill for 5 minutes, opening the lid and stirring every minute.
After 5 minutes, push all of the sprouts into a pile and pour on the balsamic vinegar and soy sauce. Stir to coat. Close the lid.
Grill for 3 more minutes, stirring every minute.
Reduce the heat to low. Add the almonds and lemon juice. Leave the lid open and cook for 2 more minutes, stirring often.
Pour into a bowl and serve.