Preheat oven to 400 degrees Fahrenheit and line a large sheet pan with parchment paper
Add broccoli, bell pepper, and zucchini to the pan. Drizzle with 1 and 1/2 tbsp olive oil. Sprinkle with a pinch of salt and pepper. Toss well and spread into an even layer
Roast vegetables in the oven for 10 minutes until they begin to soften and lightly brown
While vegetables cook, place shrimp in a bowl. Pat dry, then add remaining olive oil, garlic, paprika, Italian seasoning, salt, and pepper. Mix until evenly coated
Remove sheet pan from oven. Push vegetables to the sides and add shrimp in a single layer in the center
Return pan to oven and cook for 8 to 10 minutes, until shrimp turn pink and are fully cooked
Remove from oven and squeeze fresh lemon juice over everything. Toss lightly and serve warm