Heat your oven to 200°C/Fan 180°C/Gas 6. Trim the fennel bulbs, reserving any soft, feathery fronds for later. Halve the bulbs then cut them into 1cm-thick slices. Scrub the carrots (no need to peel them) and slice them into batons as big as your little finger. Peel and quarter the shallots.
Scatter the chopped veg into a large roasting tin. Pick the thyme leaves and scatter them over the veg, along with a pinch of salt and pepper. Pour over 1 tbsp olive oil and toss together to coat. Slide the tin into the oven and roast for 20 mins, turning the veg halfway through.
Meanwhile, peel and finely slice the garlic. Drain and rinse the lentils. Set both aside.
Grate the zest from the orange and slide it into a small bowl. Squeeze in 1 tbsp orange juice. Add a pinch of salt and pepper and 1 tbsp olive oil and whisk (you can use a fork) into a dressing. Taste and add more salt, pepper or orange juice if you think it needs it.
When the veg have roasted for 20 mins, add the garlic and lentils to the tin and stir to mix, then drizzle over 1 tbsp honey. Stir to coat, then return to the oven and roast for 5 mins to warm through.
Take the veg out of the oven and pour over the orange dressing. Stir, add the rocket to the tin and toss a few times to mix. Divide the salad between 2 warm plates, garnish with any reserved fennel fronds and serve.