Preheat the oven to 400°F. Grease a 9x13-inch baking dish with cooking spray or a little olive oil.
In a large bowl, combine the sliced zucchinis, chopped bell peppers, cherry tomatoes, red onion, and minced garlic. Drizzle with olive oil, then sprinkle with oregano, basil, salt, and black pepper. Toss until the vegetables are well coated.
Place the chicken breasts in the prepared baking dish. Pour the vegetable mixture over the chicken, spreading it evenly. Drizzle the lemon juice over the top.
Bake in the preheated oven for 25-30 minutes, or until the chicken is cooked through and reaches an internal temperature of 165°F. In the last 5 minutes of baking, sprinkle the crumbled feta cheese on top.
Remove from the oven and let it rest for 5 minutes before serving. Garnish with fresh parsley.