Season the cod fillets with sea salt and black pepper, then place them in a greased oven-safe dish.
Halve the cocktail tomatoes, dice the zucchini, and cut the carrot into thin matchsticks (juliennes).
Arrange the prepared vegetables around the fish, season with salt and pepper, drizzle generously with olive oil, place the fresh parsley on top of the vegetables, and place lemon wedges on top of the fish. The vegetables will release moisture during cooking, so no additional liquid is needed.
Cover with the glass lid and bake in a preheated oven at 200°C (392°F) with top and bottom heat for 35 minutes.
Serve with small potatoes on the side, if desired.