Preheat oven to 450°. Place tomatoes in a single layer in a 9x13-inch baking dish. Sprinkle with oil, garlic, salt and pepper; toss to coat. Roast for 20 minutes; remove from oven and set aside.

Bring water to a boil in a stockpot; add Old Bay Seasoning and shrimp. Cook until shrimp are pink; drain.

In a large serving dish, toss shrimp, parsley, lemon juice and Feta cheese with roasted tomatoes. If desired, place in oven for another 5 minutes to melt cheese completely.