Heat the Oven: Begin by preheating your oven to 425°F.
Create the Marinade: In a small bowl, whisk together the olive oil, lemon juice, garlic, oregano, thyme, Dijon mustard, salt, and pepper until well combined.
Season the Chicken: Place the chicken thighs in a large mixing bowl and pour two-thirds of the marinade over them. Use your hands to coat the chicken evenly. Let it rest on the counter for 10 to 15 minutes to absorb the flavors.
Prepare the Vegetables: Arrange the zucchini, bell pepper, red onion, and cherry tomatoes evenly across a rimmed baking sheet. Drizzle the remaining marinade over the vegetables and toss to ensure they are coated.
Bake the Chicken and Vegetables: Add the marinated chicken thighs to the baking sheet, nestling them into the vegetables. Place the sheet in the oven and bake for 30 minutes.
Finish with Olives and Feta: After 30 minutes, remove the baking sheet from the oven. Scatter the olives and feta cheese across the dish. Return the baking sheet to the oven and continue baking for an additional 10 to 15 minutes, or until the chicken is fully cooked and the vegetables are tender.
Serve and Garnish: Remove from the oven and garnish with freshly chopped parsley before serving.