Preheat the Oven: Preheat the oven to 425°F (220°C).
Season the Shrimp: Place the shrimp in a bowl and toss with 1 tablespoon of the olive oil, 1 garlic clove, oregano, crushed red chili pepper, black pepper, and kosher salt until evenly coated.
Prepare the Tomatoes: Arrange the cherry tomatoes in a large 2–3-quart baking dish. Add the remaining 2 tablespoons olive oil and remaining garlic clove, then toss until the tomatoes are coated. Add the Feta: Tuck the large feta cubes between the tomatoes, distributing them throughout the baking dish.
Bake the Tomatoes: Bake for 15 minutes, until the tomatoes are bubbling with their juices and the feta has softened.
Add the Shrimp: Carefully distribute the seasoned shrimp evenly over the baked tomatoes and feta.
Finish Baking: Return the dish to the oven and bake for an additional 5–7 minutes, just until the shrimp are opaque and cooked through.
Garnish the Dish: Sprinkle the chopped Italian parsley evenly over the cooked shrimp.
Serve: Serve warm from the oven as is, or pair with toasted naan, pita, cooked pasta, or rice.