Heat the oil in an oven proof skillet over a medium-high heat. Add the onion and cook, stirring, until softened, about 3 minutes, then add the garlic and cook for 1 minute. Add the tomatoes and bring to a boil. Reduce the heat to medium-low and let simmer for about 5 minutes, until the tomato juices thicken.
Remove from the heat. Stir in the parsley, dill, and shrimp and season with salt and pepper. Sprinkle the feta over the top. Bake until the shrimp are cooked through and cheese melts, about 12 minutes.