Preheat oven to 400℉.
Prepare 2 sheet pans with parchment paper.
Add cauliflower, red pepper, red onion, oregano, 1/2 tsp salt, 1/4 tsp pepper, and 3 tbsp olive oil to a large bowl. Toss veggies to coat. Spread the vegetables out in a single layer on one of the baking sheets. Put into the preheated oven on the top rack and set a timer for 15 minutes.
In the meantime, pat flank steak dry then brush with 1 tbsp of olive oil. Season both sides with salt and pepper. Place in the center of the second sheet pan. In the same bowl that you used for the cauliflower, add the zucchini, 1 tbsp of olive oil, and a pinch of salt and pepper. Toss to coat. Arrange on the second baking sheet around the steak.
When the 15-minute timer goes off, pull out the cauliflower and toss. Return to the oven on the middle rack. Place the second sheet pan with the steak on the top rack of the oven and cook the steak and vegetables until the steak is cooked to your liking and the vegetables are tender and starting to brown, about 10-15 minutes.
While the steak is cooking, make the southwest sauce. Combine all sauce ingredients in a small bowl and whisk until combined. Cover and set aside.
Remove the steak and vegetables from the oven and allow the steak to rest for 5-10 minutes before slicing. Serve steak and vegetables with the southwest sauce. Enjoy!