In a medium baking dish, drizzle the olive oil and add the cherry tomatoes, zucchini, and red bell pepper. Toss them to combine and season with salt, pepper, and dried oregano.
Nestle the crumbled feta cheese among the vegetables.
Make four small wells in the vegetable and feta mixture using the back of a spoon.
Crack one egg into each well, taking care not to break the yolks.
Sprinkle a little more salt and pepper on top of the eggs and drizzle with a little more olive oil.
Bake in the preheated oven for 20-25 minutes, or until the egg whites are set and the yolks remain slightly runny.
Once done, remove from the oven and let cool slightly before serving.
Garnish with fresh parsley and a sprinkle of red pepper flakes, if desired.
Notes
Serve directly from the baking dish with crusty bread on the side for dipping.