Preheat the oven to 400F. Line a baking sheet with parchment paper.
Put asparagus on one side of the baking sheet, drizzle with 1 tbsp of olive oil and toss to coat with oil. Put asparagus in the oven and bake for 10 minutes.
Meanwhile, put shrimp in a bowl and drizzle with 1 tbsp of olive oil and sprinkle with 1/4 cup of Parmesan cheese. Cut the lemon in half and squeeze one half of the lemon over the shrimp. Toss to combine.
Take the baking sheet with asparagus out of the oven and put shrimp on the other side of the baking sheet. Cut remaining lemon half into slices and arange the slices over the shrimp.
Put shrimp and asparagus in the oven and bake for 10 minutes. Sprinkle the remaining Parmesan cheese over shrimp and asparagus and serve.