Set the oven to 375°F (190°C) and lightly grease a baking dish. Cut off the tops of the bell peppers and remove seeds and membranes.
Heat olive oil in a skillet over medium heat. Add onion, garlic, and celery, and sauté for about 5 minutes until softened.
In a bowl, combine crab meat, shrimp, rice, sautéed veggies, mayonnaise, cheeses, parsley, lemon juice, Old Bay, salt, and pepper. Stir until well combined.
Fill each pepper with the seafood mixture, pressing gently to pack them in.
Place the peppers in the prepared dish, cover with foil, and bake for 25 minutes. Remove the foil and bake for another 10 minutes, until the peppers are tender and the filling is golden.
Let the peppers cool for a few minutes before serving.