Transfer the raw shrimp and the marinade ingredients to a large zip lock bag, large bowl, or airtight container. Toss everything together until the shrimp is coated with marinade. Marinate for at least 15 minutes, or up to several hours.
When you’re ready to bake, preheat the oven to 400 degrees F.
Use a sharp knife to chop the zucchini, red onion and block feta cheese. Transfer the chopped zucchini, red onion, cherry tomatoes, feta cheese, and kalamata olives to a large sheet pan. I recommend using a large rimmed baking sheet so that the edges keep any excess liquid contained.
Drizzle with avocado oil, Italian seasoning, sea salt, crushed red pepper flakes and black pepper. Use your hands to toss everything together until everything is well coated with oil and seasonings. Arrange everything in a single layer.
Bake in the preheated oven for 8-12 minutes. This bake time is dependent upon how you like your vegetables. For al dente zucchini (zucchini that is still somewhat firm), bake for 8 minutes. For softer zucchini, bake for 12 minutes.
Remove the vegetables from the oven and place shrimp on the sheet pan, arranging them around the vegetables. Bake for another 6 to 8 minutes, or until the shrimp has turned pink and is cooked through.
If you like a crispy char on your meat and veggies, place the oven on the High broil setting and broil for 2 to 5 minutes, or until the shrimp and veggies are golden brown.
Serve the Mediterranean shrimp and vegetables as is or with any additional side dishes like brown rice, cauliflower rice, or zucchini noodles.