Preheat the oven to 450 degrees F. Brush a half sheet pan with olive oil to coat the entire surface.
Trim the curved ends of the polenta roll. Then cut the remaining roll into 10 equal slices. Lay the slices on the sheet pan, then flip them over so both sides are covered with oil.
Next trim the ends off the zucchini and cut it into 10 equal slices. Lay and flip them on the sheet pan, to coat both sides in oil.
Cut each mini bell pepper into 3-4 rounds, trimming off the ends. Lay and flip them on the sheet pan.
Cut the mushrooms in half. Then lay and flip them on the sheet pan as well. Generously salt and pepper all the ingredients.
Roast in the oven for 20-25 minutes, keeping an eye on the peppers and mushrooms. They should be soft, not charred.
Once out of the oven, use a small spatula to stack the ingredients. Top each polenta slice with a zucchini slice, 2-3 pepper slices, and a mushroom half.
Lightly drizzle the tops with balsamic glaze and sprinkle with crumbled feta cheese. Serve warm.