Preheat the oven to 400°F (200°C) and line a baking sheet with parchment paper if desired.
In a large mixing bowl, combine olive oil, yogurt, minced garlic, cumin, paprika, turmeric, coriander, cinnamon, salt, and black pepper. Mix well to create the marinade.
Add the chicken thighs to the marinade, ensuring each piece is well-coated. Let it marinate for at least 15 minutes (or up to 2 hours in the refrigerator for more flavor).
While the chicken marinates, prepare the vegetables. Slice the red and yellow bell peppers and red onion. Set aside.
Place the marinated chicken thighs on one side of the prepared baking sheet. Arrange the sliced vegetables and cherry tomatoes on the other side.
Drizzle a little olive oil over the vegetables, season lightly with salt and pepper, and toss to combine.
Roast in the preheated oven for 25 to 30 minutes, or until the chicken is cooked through and the vegetables are tender.
Once cooked, remove the sheet pan from the oven and let it rest for a few minutes.
Garnish with chopped fresh parsley and serve with lemon wedges on the side.