Season venison steaks with salt and pepper. Rinse zucchini, trim and chop into small pieces. Rinse lemon and cut in half. Cut 4 thin slices for garnish and cut the rest into wedges. Rinse thyme, shake dry and pluck the leaves from the stems.
Heat 2 tablespoons oil in a large skillet. Add venison steaks and fry for 2 minutes on each side. Reduce heat and fry the steaks for another 5 minutes, turning once. Remove steaks from the pan and allow to rest, covered.
Heat olive oil in a pan. Add zucchini, thyme and lemon wedges and sauté in the oil for 1-2 minutes. Stir in capers and season with salt and pepper. Arrange vegetables on plates with the steaks and garnish with lemon slices.