Place yoghurt, lime zest, lime juice, avocado, sweet chilli sauce and coriander into a medium-sized bowl. Stir to combine. Season with salt and pepper.
Place carrots, capsicum, zucchini and broccoli into a heat-proof bowl. Pour over boiling water and leave for 30 seconds. Drain and plunge into cold water. Drain well.
Arrange blanched vegetables onto a serving plate. Serve with dip.