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Step 1
Preheat oven to 200°C (180°C fan-forced).
Step 2
Discard necks from quails. Wash quails under cold water; pat dry inside and out with absorbent paper. Tuck legs along body; wrap tightly with prosciutto to hold legs in place.
Step 3
Heat butter in a large flameproof baking dish on stove top; cook quails, in batches, until browned all over. Remove from dish.
Step 4
Add wine to same dish; bring to the boil. Reduce heat; simmer, uncovered, until wine has reduced to 1 tablespoon. Add fennel, garlic, capsicum, zucchini and stock; return to the boil. Place quails on top of vegetables; transfer dish to oven. Roast, uncovered, 20 minutes. Add lemon to dish; roast a further 10 minutes or until quails are cooked through.
Step 5
Remove quails and garlic from dish. When cool enough to handle, squeeze garlic from skins into dish; stir in cream and oregano.
Step 6
Serve quails on vegetables.