Preheat your oven to 400°F (200°C) and line a large rimmed baking sheet with parchment paper for easy cleanup.
Prepare the vegetables by chopping the red bell pepper and zucchini into one-inch chunks and breaking the broccoli into bite-sized florets.
In a small mixing bowl, whisk together the extra virgin olive oil, fresh lemon juice, dried oregano, garlic powder, sea salt, and black pepper until well combined.
Place the peeled and deveined shrimp along with the chopped vegetables onto the prepared baking sheet.
Drizzle the lemon-herb dressing over the shrimp and vegetables, then toss thoroughly with your hands or tongs to ensure every piece is evenly coated.
Spread the mixture out into a single, even layer on the pan to ensure the vegetables roast rather than steam.
Roast in the center of the oven for 12 to 15 minutes, or until the shrimp are pink and opaque and the vegetables are tender with slightly caramelized edges.
Remove from the oven and serve immediately while hot, perhaps with an extra squeeze of fresh lemon if desired.