Preheat your oven to 400°F (200°C). This temperature will give your shrimp and vegetables a beautiful roast.
In a small mixing bowl, combine the zest of the lemon, 3 tablespoons of lemon juice, 1 tablespoon of extra-virgin olive oil, minced garlic, 1 teaspoon of kosher salt, ½ teaspoon of black pepper, and 1 teaspoon of dried oregano. Mix well to create a marinade.
In a larger bowl, add the peeled and deveined shrimp. Pour the marinade over the shrimp and toss to coat evenly. Let it sit while you prepare the vegetables.
On a large baking sheet, add the artichoke hearts, grape tomatoes, kalamata olives, red onion, and zucchini. Drizzle with 1 tablespoon of olive oil, and sprinkle with ½ teaspoon of dried oregano, ½ teaspoon of crushed red pepper, and ½ teaspoon of kosher salt. Toss everything together until well coated.
Spread the vegetables out in an even layer on the baking sheet. Roast in the preheated oven for about 15 minutes, or until they start to soften and caramelize.
Remove the baking sheet from the oven and add the marinated shrimp to the pan, spreading them evenly over the vegetables. Return the sheet to the oven and bake for an additional 8-10 minutes, or until the shrimp are pink and cooked through.
Once out of the oven, sprinkle the Sheet Pan Mediterranean Shrimp with crumbled feta cheese and chopped fresh parsley. Serve immediately over prepared lemon rice, brown rice, or alongside toasted baguette slices for a complete meal.