Preheat the oven to 400 degrees F (200 degrees C). Grease a 9x13-inch casserole dish with olive oil.
Combine Brussels sprouts, sweet potatoes, olive oil, garlic powder, sea salt, and pepper in a bowl; mix well to combine. Pour into the prepared casserole dish.
Bake in the preheated oven for 15 minutes. Mix vegetables and return to the oven for 15 to 20 more minutes. Sprinkle with feta cheese and cook until vegetables are browned and cooked through and feta cheese is melted, 5 to 10 more minutes.
