Heat a grill pan over medium heat.
Slice both eggplants lengthwise into 3 thick steaks. Drizzle with some olive oil and sprinkle with the chili powder, salt and pepper.
Grill the eggplant steaks until tender and nicely marked by the grill pan, about 4 minutes per side.
Transfer the eggplant steaks to individual serving plates and sprinkle with the feta cheese, tomatoes, cucumbers and chopped parsley and top with a squeeze of lemon. Serve.