Heat a gas grill or stovetop grill to medium-high. Lightly grease grill racks or grill pan.
Brush mushrooms with olive oil and season with salt and pepper. Grill 2 minutes per side.
To serve, spread bottom half of each roll with 1 tbsp pesto. Layer with mushrooms, Gouda, red pepper strips and watercress. Top with remaining bun halves.