Prep the Oven and Pan: Preheat your oven to 400°F (200°C). Lightly grease a 9x13 inch ceramic baking dish or a 12-inch cast-iron skillet with a drizzle of olive oil.
Prepare the Vegetables: Using a mandoline slicer (highly recommended) or a very sharp chef's knife, slice your beets, sweet potatoes, and onions into uniform 1/8-inch thick rounds. Tip: Wear gloves when handling beets to prevent staining.
Mix the Feta Cream: In a medium mixing bowl, combine the crumbled feta (minus the reserved portion), olive oil, Greek yogurt/milk mixture, minced garlic, oregano, salt, and pepper. Stir until it forms a thick, creamy paste.
Assemble the Layers: * Spread a thin layer of the feta mixture (about 1/3) onto the bottom of the prepared dish.
Arrange the vegetable slices in a shingled, overlapping pattern, alternating between beet, sweet potato, and onion.
After the first full layer of vegetables, dollop and spread another 1/3 of the feta mixture.
Finish with a final beautiful layer of overlapping vegetables in a concentric circle or tight rows.
Bake Covered: Cover the dish tightly with aluminum foil to trap steam. Bake for 45–50 minutes. The vegetables should be "fork-tender" but not mushy.
Add Crunch: Remove the foil. Sprinkle the remaining 1/4 cup of crumbled feta and the chopped walnuts evenly over the top.
Final Roast: Return the dish to the oven, uncovered. Bake for another 15–20 minutes until the walnuts are fragrant and toasted, the feta is lightly browned, and the juices are bubbling.
Rest and Garnish: Let the gratin rest for 10–15 minutes before serving. This is essential for the layers to set. Garnish with fresh parsley or dill and enjoy!