Preheat oven to 375°F (190°C).
In a large oven-safe skillet, heat olive oil over medium heat.
Add potatoes and cook until tender, about 10 minutes.
Add onion, bell pepper, and zucchini. Cook until vegetables are soft, about 5 minutes.
In a bowl, whisk together eggs, milk, cheese, salt, and pepper.
Pour egg mixture over vegetables in the skillet.
Cook on the stovetop until the edges start to set, about 5 minutes.
Transfer skillet to the oven and bake until the frittata is set, about 10 minutes.
Let cool slightly before slicing and serving.