Preheat your oven to 400°F (200°C) and line a large rimmed baking sheet with parchment paper for easy cleanup.
In a small mixing bowl, whisk together the extra virgin olive oil, minced garlic, dried oregano, sea salt, and black pepper until well combined.
Prepare the vegetables by slicing the zucchini into half-inch rounds and cutting the red bell pepper into one-inch square chunks.
Thread the peeled and deveined shrimp onto skewers, alternating with the zucchini rounds and bell pepper pieces for a colorful presentation.
Place the assembled skewers onto the prepared baking sheet and brush the garlic-herb oil mixture generously over all sides of the shrimp and vegetables.
Roast in the center of the oven for 10 to 12 minutes, turning the skewers halfway through, until the shrimp are opaque and pink and the vegetables are tender-crisp.
Remove from the oven and garnish with freshly chopped parsley and a squeeze of lemon juice before serving.