Preheat the oven to 450 degrees F (230 degrees C).

Place tomatoes in the bottom of a 9x13-inch baking dish. Add garlic and olive oil and combine. Sprinkle with salt and pepper.

Place on the top rack of the preheated oven and roast for 20 minutes.

Remove the dish from the oven, leaving oven on. Stir in shrimp and lemon juice. Sprinkle with feta cheese.

Return the dish to the oven and continue to cook until shrimp are bright pink on the outside and meat is opaque, 10 to 15 minutes. Sprinkle with parsley.