In a medium bowl, whisk the eggs and milk together until well combined. Season with salt and black pepper to taste.
Heat the olive oil in an oven-safe skillet (about 10 inches) over medium heat. Add the diced bell peppers, zucchini, and onion, and sauté for 4-5 minutes until softened.
Spread the vegetables evenly across the skillet. Pour the egg mixture over the vegetables, ensuring even coverage.
Sprinkle the shredded cheddar cheese evenly over the top of the egg mixture.
Cook on the stovetop for 2-3 minutes until the edges begin to set, then transfer the skillet to the preheated oven.
Bake for 12-15 minutes, or until the frittata is fully set and the top is lightly golden.
Remove from the oven, let it cool for a few minutes, then slice into wedges. Serve warm and enjoy your vegetable frittata!