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Step 1
Pat chicken dry and season with salt. Set aside on a plate.
Step 2
Smash garlic under the flat side of a chef’s knife on your cutting board. Add anchovies, if using, chile, and a couple of pinches of salt and continue smashing with the side of your knife until a paste forms. (You can also do this with a mortar and pestle.) Transfer paste to a large bowl and stir in tomato paste, oregano, and 3 Tbsp. oil. Add chicken and toss to coat. Let sit at room temperature 1 hour.
Step 3
Meanwhile, prepare a grill for medium heat. Clean and oil grate. Grill chicken, turning once, until lightly charred and cooked through, about 4 minutes per side.
Step 4
While the chicken is cooking, grill lemons, cut side down, until lightly charred and starting to caramelize, about 4 minutes. Transfer to a platter.
Step 5
Transfer chicken to platter with lemons and let rest 5 minutes.
Step 6
While the chicken is resting, toss fennel, onion, and vinegar in a medium bowl; drizzle with oil and season with a big pinch of salt. Toss once more.
Step 7
Mound fennel salad next to chicken and sprinkle sesame seeds over both. Squeeze grilled lemons over chicken and fennel salad.