Preheat the oven to 200°C, 180°C fan (400°F), Gas Mark 6.
Put the bread into a bowl, pour over the milk and mix to ensure it is well coated. Add all the remaining ingredients, except the feta and sauce ingredients, along with a very generous seasoning of salt and pepper. Using your hands, work the ingredients together really well to break everything down, especially the bread, which should be soft and well incorporated into the meat. Once you have a smooth paste, divide it into 12 equal portions and roll into balls. Place the meatballs in a large ovenproof dish and bake for 25 minutes.
Meanwhile, to make the sauce, place a saucepan over a medium heat, drizzle in some olive oil, then add the rest of the ingredients along with a generous amount of salt and pepper. Stir, then leave to simmer and thicken slightly.
Remove the meatballs from the oven and pour over the sauce, ensuring they are all fully covered, then scatter over the feta. Return to the oven, increase the temperature to 220°C, 200°C fan (425°F), Gas Mark 7, and cook for another 20 minutes before serving.