Wipe the portobello mushrooms clean and remove the stems. Add the mushrooms to the air fryer basket.
In a small bowl, mix together the oil, Italian seasoning, salt, and pepper. Divide the mixture between the mushrooms, drizzling over the inside. Top each mushroom with feta cheese and parsley.
Cook the mushrooms in a basket style air fryer at 400°F for 5-7 minutes or until the mushrooms are tender when pierced with a fork.