In a large skillet, heat the olive oil over medium heat. Add the onion and cook for 3 to 4 minutes until soft.
Add the garlic, cumin, smoked paprika, ground fennel, and cayenne pepper. Stir for about 1 minute until fragrant.
Stir in the red lentils, diced tomatoes, and vegetable broth. Bring to a gentle boil, then reduce heat and simmer uncovered for 12 to 15 minutes until creamy.
Add the cherry tomatoes and lemon juice. Season with salt and black pepper. Cook 2 more minutes.
Use a spoon to make four small wells in the lentils. Crack one egg into each well. Cover and cook 4 to 6 minutes until whites are set but yolks are runny.
In a small bowl, stir the Greek yogurt with black pepper until smooth.
Spoon lentils and eggs into bowls. Top with yogurt, fresh parsley, and a drizzle of olive oil.