In a small bowl, mix together the olive oil, lemon juice or red wine vinegar, salt, black pepper, and dried oregano. This will be your marinade.
Place the chicken thighs in a large bowl or a zip-lock bag.
Pour half of the Greek dressing over the chicken and make sure each piece is well coated. Save the other half for later.
Let the chicken marinate for at least 30 minutes in the fridge, or for the best results, leave it overnight.
Preheat your oven to 425°F (220°C).
Take a half size baking sheet and, if you want, line it with parchment paper for easy clean-up.
Add the cherry tomatoes, zucchini, sliced bell peppers, and red onion. Drizzle the remaining marinade over the veggies, and toss so they are well coated.
Nestle the chicken between the veggies.
Put the sheet pan in the oven and roast for about 30 minutes, or until the chicken is cooked through (internal temperature should reach 165°F or 74°C) and the veggies are nicely roasted.
Once you take the pan out of the oven, add the kalmata olives and sprinkle the feta cheese over the hot veggies and chicken. The heat will soften the feta and make it more flavorful. Garnish with fresh chopped parsley and serve.