Preheat the oven to 400°F (200°C). Line a rimmed baking sheet with parchment paper.
Place the salmon fillets on the prepared baking sheet, skin-side down.
Using a sharp knife, carefully cut a pocket lengthwise through the center of each salmon fillet. Do not cut completely through the bottom or ends of the fish.
Brush the salmon with 1 tablespoon olive oil. Season lightly with salt and freshly ground black pepper, then set aside.
Heat the remaining tablespoon of olive oil in a large skillet over medium heat.
Add the baby spinach, Italian seasoning, paprika, cayenne, and a small amount of salt and pepper.
Sauté for about 2–3 minutes, stirring frequently, until the spinach has wilted.
Turn off the heat. Add the chopped roasted red peppers, crumbled feta, and Parmesan.
Stir and gently mash the feta into the spinach mixture until the filling begins to hold together.
Divide the spinach and feta mixture evenly among the four salmon fillets, carefully spooning it into each pocket. Some filling can remain visible above the salmon.
Bake the Stuffed Salmon With Spinach & Feta for 12–17 minutes, depending on the thickness of the fillets.
For food safety, cook the salmon to an internal temperature of 145°F (63°C), measured in the thickest part.
Remove from the oven and serve hot.