1. Put the milk for the sauce in a saucepan with the onion, bay leaf and peppercorns. Bring to just below simmering point then turn off the heat. Leave to infuse for at least 30 minutes.
2. Meanwhile, top and tail the courgettes, then cut, lengthwise, into 3-4mm slices. Brush them with olive oil, lay them on a baking sheet and season lightly. Roast at 190°C/gas 5 for 15-20 minutes, turning once, or until tender and starting to colour.
3. When you are ready to make the white sauce, reheat the milk gently if necessary: it should be hot when it goes in. Heat the butter in a medium saucepan over a fairly low heat, then stir in the flour to form a smooth paste.
4. Cook gently, stirring frequently, for 1-2 minutes. Remove from the heat and strain in a third of the hot milk. Stir vigorously with a wooden spoon or a whisk, until you have a thick, smooth paste.
5. Add the rest of the milk in one or two lots. Return the sauce to the heat and bring to the boil, stirring. Let it bubble for 2 minutes, stirring occasionally, then season. Set aside, with a piece of cling film placed directly on the surface, to stop a skin forming.
6. Put some of the bolognese in a smallish oven dish. Cover with a layer of courgette, scatter with fennel, then spoon on half the sauce. Repeat, using up the remaining ingredients. Bake at 190°C/gas 5, for 20-25 minutes, until bubbling and golden grown on top.
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