Preheat your oven to 425°F. Lightly flour a surface for rolling out the puff pastry sheets. Roll out the puff pastry sheets to smooth out any creases, then cut them into 24 squares using a chef’s knife.
Grease a 24-cup mini muffin tin with cooking spray. Gently press each square into the prepared cups, making sure the pastry slightly protrudes out of the cup to create a cup-like shape after baking.
Fill each pastry square with jam, shallots, red peppers, a cube of feta cheese, and a sprinkle of thyme. Season with salt and pepper.
Bake the feta bites in the preheated oven until the pastry is cooked through, puffed, and browned, which should take around 20 minutes. Let them cool for 5 minutes.
Transfer the baked bites to a serving platter. Sprinkle with additional thyme leaves, lemon zest, and drizzle with chili oil.
Enjoy your delicious baked feta bites!