Preheat the pellet smoker to 275°F. Lightly oil a rimmed sheet pan with the olive oil.
In a large bowl, whisk the egg and milk. Stir in the breadcrumbs, onion, garlic, parsley, oregano, salt, and black pepper. Let the mixture stand for a minute so the breadcrumbs can absorb the liquid.
Add the ground turkey, chopped spinach, sun-dried tomatoes, and feta. Mix gently with your hands just until everything is evenly combined. Avoid packing the mixture tightly, which can make the loaf dense.
Shape the mixture into a compact loaf on the oiled sheet pan. Place the pan in the smoker and cook until the center reaches 165°F on an instant-read thermometer, checking the temperature in the thickest part of the loaf.
Remove the meatloaf from the smoker and let it rest for 10 minutes before slicing. This helps the slices hold together and keeps the juices in the loaf.