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Step 1
Preheat the oven to 450 degrees F. Line a large rimmed baking sheet with parchment paper or a silicone baking mat.
Step 2
Cook the vegetables: Zest the lemon into a large bowl. Add 1 tablespoon lemon juice (reserve the lemon's remaining juice for the shrimp and serving), oil, garlic, salt, pepper, and oregano. Whisk to combine.
Step 3
Add the artichokes, tomatoes, olives, and onion.
Step 4
Trim off the ends of the zucchini, then quarter lengthwise so that you have four batons. Slice the batons crosswise into ½-inch pieces. Add them to the bowl with the other vegetables. With your hands or a large spoon (hands are easier) toss to coat.
Step 5
Transfer the mixture to a large rimmed baking sheet and spread it into an even layer (keep the bowl handy; no need to clean it yet). Place in the oven and bake until the tomatoes begin to soften and release their juices, about 12 minutes.
Step 6
Prep the shrimp: While the vegetables are cooking, in the same bowl you used for the vegetables, stir together 1 tablespoon lemon juice, oil, oregano, red pepper, garlic, and salt. Add the shrimp and toss to coat.
Step 7
Remove the baking sheet from the oven and add the shrimp (discard any liquid that collects in the bowl). With a large spatula, stir to combine the shrimp and vegetables together. Spread back into an even layer.
Step 8
Return to the oven and continue baking until the shrimp are pink, opaque, and cooked through, 6 to 10 minutes more depending upon the size of your shrimp. Do not overcook! As soon as the shrimp look opaque and pink, they are cooked.
Step 9
Remove the pan from the oven. Sprinkle with the feta and parsley and squeeze the remaining 1 to 2 tablespoons lemon juice over the top. Season with a pinch of additional salt and black pepper to taste. Serve warm with rice or baguette slices.