Preheat the oven to 400°F (200°C) and line a large baking sheet with parchment paper.
In a small bowl, whisk together olive oil, lemon juice, dried oregano, minced garlic, salt, and black pepper to create the marinade.
Place the chicken thighs, chopped zucchini, and red onion wedges on the prepared baking sheet.
Pour the marinade over the chicken and vegetables, tossing well to ensure everything is evenly coated. Spread them out into a single layer.
Roast in the preheated oven for 20 minutes.
Remove the pan from the oven. Scatter the cherry tomatoes and Kalamata olives over the mixture.
Return to the oven and roast for an additional 10 to 15 minutes, or until the chicken reaches an internal temperature of 165°F and the vegetables are tender.
Remove from the oven, top with crumbled feta cheese, and serve warm.