Preheat your oven to 400°F (200°C).
In a large bowl, combine the shrimp, cherry tomatoes, bell peppers, red onion, and zucchini.
Drizzle the olive oil over the mixture and sprinkle with oregano, garlic powder, paprika, salt, and pepper. Toss everything together until well coated.
Spread the shrimp and vegetables evenly on a large baking sheet.
Bake in the preheated oven for 10-12 minutes, or until the shrimp are pink and cooked through.
Remove from the oven and squeeze fresh lemon juice over the top. Garnish with chopped parsley before serving.