Roasting the peppers and tomatoes concentrates their flavors to give this sauce a long-cooked flavor in a super-short time. Serve with pasta, spoon over fried eggplant, or use as a dipper for breadsticks or fried mozzarella sticks.
Preheat the oven to 425°. On a large rimmed baking sheet, toss the tomatoes, bell peppers, and anchovies with the oil; season with salt and pepper. Spread the vegetables and anchovies out in a single layer. Roast until the tomatoes are soft and juicy and the bell peppers are tender, 20 to 25 minutes. Top with the garlic. Using the back of a spatula, gently mash the vegetables and anchovies so the tomatoes release their juices and the anchovies melt into the sauce.