Preheat oven to 230 degrees C. Lightly grease a shallow baking dish.
Heat olive oil in a medium saucepan over medium heat and stir in zucchini, onion, and garlic. Cook and stir 5 minutes or until tender. Remove saucepan from heat and mix in tomatoes, basil, salt, and pepper.
Arrange the fish steaks in a single layer in the prepared baking dish. Spoon equal amounts of the tomato/zucchini mixture over each steak. Top with feta cheese.
Bake 15 minutes in the preheated oven, or until fish is easily flaked with a fork.