In a small bowl, mix together chile powder, paprika, salt, black pepper and cayenne. In a medium bowl, toss shrimp with 1 tsp spice mixture until coated.
Heat 2 tsp oil in a large sauté pan or wok on medium-high. Add shallots and cook, stirring frequently, for 3 minutes, until softened. Add shrimp and cook, stirring frequently, for 3 more minutes, until just turning pink. Transfer shallot-shrimp mixture to a bowl and return pan to heat.
Heat remaining 1 tsp oil in pan. Add sausage and cook, breaking up meat with a wooden spoon, for about 3 minutes, until browned. Stir remaining spice mixture and collard greens into pan. Cover and cook for 2 minutes. Remove lid, stir and cook for 2 more minutes. Add shallot-shrimp mixture back to pan, stir and cook for 1 more minute, until heated through. Serve immediately.