Heat oven to 425 degrees Fahrenheit.
On a large rimmed baking sheet, toss the broccolini, tomatoes and lemon slices with 2 tablespoons of the olive oil; season with salt and pepper.
Place the block of feta in the center of the baking sheet and drizzle with the remaining 1 tablespoon olive oil.
Roast until the broccolini is tender and the feta is softened, 18 to 22 minutes.
