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When ready to cook, start the Traeger grill on Smoke with the lid open until fire is established (4-5 minutes). Set the temperature to 400 degrees F and preheat, lid closed, for 10 to 15 minutes.
Scrub potatoes under cold running water and dry with paper towels. Using a fork, poke several holes in the potatoes to allow steam to escape. Oil each potato and sprinkle with coarse sea salt.
Arrange the potatoes directly on the grill grate and bake for about 1 hour, or until the potatoes are cooked through. Transfer the potatoes to a rimmed baking sheet. Leave the grill on if you're making the skins immediately.
Let the potatoes cool for 15 to 20 minutes. Cut each potato in half lengthwise. Use a tablespoon to scoop out the potato flesh, leaving a 1/4-inch shell.
Using the back of a spoon, spread the pizza sauce inside the potato skins. Top with your favorite pizza toppings and finish with a sprinkle of parmesan and mozzarella cheese. Arrange on a rimmed baking sheet or pan.
Bake the skins at 400 degrees F for about 10 minutes or until the cheese is melted and bubbly. Serve immediately. Enjoy!