Preheat the oven to 350°F (175°C).
In a large skillet, cook the breakfast sausage over medium heat until browned. Drain excess fat.
Add the diced bell peppers and onions to the skillet and sauté until softened, about 5 minutes.
In a large mixing bowl, whisk together the eggs and milk until well combined. Season with salt and pepper.
In a greased 9x13 inch baking dish, layer the cubed bread, followed by the sausage and vegetable mixture. Pour the egg mixture over the top.
Sprinkle the shredded cheddar cheese evenly over the top.
Bake in the preheated oven for 30-40 minutes, or until the egg is set and the top is golden brown.
Let it cool for 10 minutes before slicing and serving.