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Heat oven to 425°F.
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Put the potatoes, fennel, and mushrooms directly onto a large rimmed sheet pan.
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Drizzle the vegetables with about 2 tbsp olive oil. Sprinkle directly over them with about half of the oregano, paprika, garlic powder, salt, and pepper. Toss everything together right on the pan with your hands or a spatula.
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Spread the vegetables into an even layer.
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Pat the chicken leg quarters dry and place them skin-side up among the vegetables.
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Drizzle the chicken with the remaining 1 tbsp olive oil. Season with the remaining oregano, paprika, garlic powder, salt, and pepper.
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Zest about half of the lemon directly over the chicken and vegetables.
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Roast for 45–55 minutes, turning the vegetables once after about 30 minutes, until the chicken is deeply browned and cooked through and the potatoes are tender.
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During the last 10–15 minutes, scatter the olives over the pan.
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Remove from the oven. Squeeze the lemon juice over everything while hot.
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Scatter the feta over the entire pan and finish with parsley or dill, if using.
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Serve straight from the sheet pan.