Cut all of the vegetables into bite-sized pieces and place them in a large bowl.
In the same bowl, add the shrimp, olive oil, lemon juice, garlic, thyme, oregano, parsley, rosemary, salt, and pepper. Toss until everything is evenly coated, then cover and refrigerate for about 30 minutes.
While the shrimp and vegetables marinate, cook your grain of choice according to the package directions.
Preheat your oven to 425°F.
Drain as much of the marinade as possible, then spread the shrimp and vegetables in an even layer on a large baking sheet. Try not to overcrowd the pan. Top with fresh lemon slices.
Bake for 10-13 minutes, or until the shrimp are pink and fully cooked. For extra color on the vegetables, switch the oven to broil for the last 2-3 minutes, watching closely.
Remove the pan from the oven and sprinkle with crumbled feta cheese.
Serve with your cooked grain, tzatziki sauce, and Kalamata olives, if desired.