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Step 1
Prepare a grill for medium-high indirect heat (for a charcoal grill, bank coals on one side of grill; for a gas grill, leave one or two burners off). Lightly oil grate. Trim fennel bulbs; reserve ¼ cup fronds. Slice bulbs through root ends into ⅓”-thick slabs and thread onto skewers. Drizzle with oil and season generously with salt and pepper on both sides. Set aside.
Step 2
Thinly slice any stray pieces from fennel bulbs; place in a medium bowl. Add olives, peppers, lemon juice, and 1 Tbsp. oil; toss to combine. Season with salt and pepper.
Step 3
If using links, thread sausage horizontally onto 3 parallel skewers, spacing about 2” apart.
Step 4
Grill sausage over direct heat until browned, about 3 minutes per side. Move over indirect heat and continue to grill, turning occasionally, until cooked through, 10–15 minutes more. Transfer to a platter.
Step 5
Meanwhile, grill reserved fennel skewers over direct heat, turning halfway through, until fennel is charred and tender but still holds its shape, 8–10 minutes. Remove from skewers and add to bowl with olives and peppers. Add reserved fennel fronds; toss to combine.
Step 6
Spoon fennel salad over sausage.