PREP: Preheat oven to 400 degrees F. Prep the veggies: thinly slice the bell peppers and red onion. Pat the shrimp dry with a paper towel (you can also remove tails now or after shrimp is baked). Line 2 large sheet pans with parchment paper and set aside.
SEASONINGS: In a small bowl, combine the seasonings: chili powder, cumin, onion powder, garlic powder, paprika, and oregano. Add salt and pepper to taste (I add 1 teaspoon salt and 1/2 teaspoon pepper). Stir to combine and set aside.
BAKE: On one sheet pan, add all the bell pepper and onion slices. Drizzle 1 and 1/2 tablespoons olive oil and add 1 tablespoon of the seasoning mix. Toss on the sheet pan until veggies are coated and then spread into an even layer. Bake for 15 minutes on a higher oven rack.
BAKE CONT.: On the other sheet pan add the shrimp, 1 tablespoon olive oil, and all the rest of the seasoning mix. Toss until shrimp are evenly coated and then spread in an even layer on the pan, none overlapping. Remove the veggie pan, toss veggies, and return to a lower oven rack. Place shrimp pan on the top rack. Bake 5-6 minutes or until shrimp are opaque and cooked through and veggies are crisp tender. OPTIONAL: Remove the shrimp tray, move up the veggies, and turn the oven to broil. Broil for 1-2 minutes watching closely. Otherwise, you can cook the veggies 5 or so minutes longer if more tender veggies are desired (we like them with some bite still!)
SERVE: Add the fresh lime juice and cilantro to the shrimp and toss. Cook or warm tortillas (See Note 1) and prepare toppings while shrimp and veggies are cooking. Remove tails from cooked shrimp if they weren't removed before baking and add to tortillas along with a big scoop of cooked veggies. Add your favorite toppings such as avocado or guac, a big scoop of sour cream, pico or salsa, etc. Serve with additional lime wedges. Enjoy warm.