Spray both sides of mushrooms, eggplant, zucchini and capsicum with olive oil spray. Season with pepper.
Preheat a barbecue grill on a medium-high heat. Barbecue the mushrooms, eggplant and zucchini for 3 minutes on each side or until tender. Transfer to a large heatproof dish. Cover to keep warm.
Barbecue capsicum for 4-5 minutes on each side, or until tender. Transfer to the dish. Add feta, toss gently to combine.
Arrange salad on serving plates. Drizzle each plate with 2 teaspoons of oil, a squeeze of lemon juice and season with pepper.