Preheat the oven to 400°F (200°C) and position a rack in the center.
Pat the NY strip steak dry with paper towels and slice into thin strips using a sharp knife.
Chop the bell peppers, red potatoes, yellow onion, zucchini, and carrots into bite-sized pieces.
Place the chopped vegetables and steak strips on a large rimmed baking sheet in a single thick layer; you can toss them in a large bowl first if preferred.
Drizzle the avocado oil over the meat and vegetables, then sprinkle with the chili powder and sea salt. Use your hands or a spatula to toss until everything is evenly coated.
Bake on the center rack for 20 to 25 minutes, or until the potatoes are tender and vegetables reach your desired doneness and the steak is cooked through (see note on temperature).
Optional: For a crisp exterior, broil on high for the last 3 to 5 minutes while watching closely to prevent burning.
Remove from the oven and serve immediately.