In a large shallow baking dish, mix the yogurt, feta cheese, lemon zest, lemon juice, oregano, salt, pepper and rosemary.
Place the chicken in the dish and turn to coat. Cover and marinate 3 hours in the refrigerator.
Preheat an outdoor grill to high heat. Thread the chicken, onion wedges and bell pepper pieces alternately onto skewers. Discard remaining yogurt mixture. Grill skewers on the prepared grill until the chicken is no longer pink and juices run clear.