Preheat the oven to 400°F (200°C).
In a 9x13 inch ceramic or glass baking dish, combine the cherry tomatoes, Kalamata olives, minced garlic, olive oil, dried oregano, red pepper flakes, salt, and black pepper.
Toss the ingredients until the vegetables are evenly coated in oil and aromatics.
Roast the vegetable mixture in the preheated oven for 10 to 12 minutes until the tomatoes begin to burst and release their juices.
Remove the dish from the oven and incorporate the shrimp and lemon slices, distributing them evenly among the roasted vegetables.
Top the mixture with the crumbled feta cheese.
Return the dish to the oven and bake for an additional 8 to 10 minutes until the shrimp are opaque and pink and the feta has softened.
Garnish with fresh parsley and serve immediately.