Step 1

Heat the oven to 425°F with a rack in the middle position. In a 9-by-13-inch baking dish, toss together the 1 tablespoon oil, 1 teaspoon oregano, the tomatoes, fennel, onion and ¼ teaspoon each salt and pepper. Distribute in an even layer, then cover with foil and bake for 15 minutes. Meanwhile, in a medium bowl, toss together the shrimp, the remaining 1 teaspoon oregano, the remaining 1 teaspoon oil and ½ teaspoon each salt and pepper; set aside.

Step 2

Uncover the baking dish and stir the tomato mixture. Continue baking, uncovered, until the vegetables fully soften, about another 30 minutes. Remove from the oven; leave the oven on.

Step 3

Using a silicone spatula, lightly mash the tomato mixture, then stir in the shrimp, distributing in an even layer. Bake, uncovered, until the shrimp are beginning to turn opaque, about 3 minutes. Stir, flipping the shrimp, then bake until the shrimp are just opaque throughout, about another 2 minutes.

Step 4

Remove from the oven, stir in half of the feta and let stand for about 5 minutes. Sprinkle with the remaining feta and the parsley, then drizzle with additional oil. Serve from the baking dish.