Preheat your oven to 400°F (200°C) and lightly grease a baking dish with olive oil.
In a large bowl, toss together the sliced onions, bell peppers, cherry tomatoes, garlic, olives, and capers (if using). Drizzle with olive oil and sprinkle with oregano, paprika, salt, and pepper before tossing until everything is evenly coated.
Spread the vegetable mixture evenly across the bottom of the baking dish before placing fish fillets on top. Squeeze fresh lemon juice over fillets while sprinkling them with lemon zest along with additional salt, pepper, and oregano according to taste preferences.
Bake uncovered for about 20–25 minutes or until fish appears opaque and flakes easily when tested with a fork while ensuring vegetables become tender yet slightly caramelized around edges.
Once out of the oven, sprinkle chopped fresh parsley over top before serving alongside lemon wedges.