Preheat the oven to 425°F. Line a sheet pan with parchment paper.
Place the sliced bell peppers, onion, and serrano on the prepared sheet pan. Drizzle with 2 tablespoons of the avocado oil, ½ teaspoon Kosher salt, and ½ teaspoon pepper and toss until well-combined. Spread into an even layer and par cook until softened, about 10 minutes.
Meanwhile, pat the shrimp very dry and place in a bowl. Add the remaining 2 tablespoons avocado oil 1 ½ teaspoon Kosher salt, ½ teaspoon pepper, the chili powder, garlic powder, smoked paprika, cumin, fresh oregano, and lime zest and toss until well combined and the shrimp is evenly coated. Set aside until the veggies have par cooked.
Remove the veggies from the oven and add the shrimp to the pan. Toss until just combined and spread into an even layer. Place back into the oven and continue to roast until the shrimp is cooked through, about 10 minutes.