Preheat the oven. Set to 425°F (220°C). Line a large sheet pan with parchment for easy cleanup, or use a lightly oiled baking dish.
Prep the vegetables. In a large bowl, toss tomatoes, red onion, bell pepper, zucchini, and olives with 2 tablespoons olive oil, half the garlic, oregano, thyme, paprika, a pinch of red pepper flakes, 1/2 teaspoon salt, and several grinds of black pepper.
Roast the base. Spread the veggie mixture into an even layer on the pan.
Roast for 12–15 minutes until the tomatoes soften and the onions begin to char at the edges.
Season the shrimp. While the veggies roast, pat the shrimp dry. Toss with the remaining 1 tablespoon olive oil, the rest of the garlic, lemon zest, 1 tablespoon lemon juice, a small pinch of red pepper flakes, 1/4 teaspoon salt, and black pepper.
Add shrimp to the pan. Pull the pan from the oven, stir the vegetables, then nestle the shrimp across the top in a single layer.
Finish roasting. Return to the oven and roast for 6–8 minutes, until the shrimp are pink and just opaque. Avoid overcooking; they should curl slightly but not tighten into tight rings.
Add bright finishes. Squeeze another 1–2 teaspoons lemon juice over the pan.
Sprinkle with parsley and feta, if using. Taste and adjust salt, pepper, or lemon to your liking.
Serve. Enjoy as-is, or spoon over couscous, orzo, or crusty bread to catch the juices.