Preheat the oven to 425 F. While the oven is preheating, place the pecans on a baking sheet and toast them for about 4 minutes.
Line a half rimmed baking sheet with parchment paper. Cut the acorn squash in half lengthwise and use a spoon to remove the seeds. You can save the seeds for roasting as a great snack later on too.
Drizzle the cut side of the acorn squash with the olive oil. Then turn them flat side down on the parchment paper and rub them onto the paper to distribute the oil evenly. Leave them flat side down. Place the squash in the oven and roast them for about 30 minutes or until the skin is shiny and a paring knife stuck into the squash goes through easily.
In the meantime, prepare the gremolata. Wash and shake off as much excess water from the parsley as possible. Chop about 2 cups of parsley into a mince and add it to a small mixing bowl (should be about ½ cup chopped). Grate the zest of a lemon and add it to the parsley. Mince the garlic very fine and add this as well. Add the salt and pepper to the mixture. Mix well and taste it, adding more salt to your taste.
Remove the squash from the oven and fill them with crumbled feta cheese, the toasted pecans and then the gremolata. Serve immediately.