Preheat the oven to 220°C/200°C fan/gas 7.
Mix the marinade ingredients in a bowl and season with salt and pepper.
Scatter the baby tomatoes, aubergine chunks and walnuts in an oven dish and pour over the marinade. Mix everything together well and bake in the oven for 30–35 minutes until the aubergine and tomatoes have softened and the walnuts have browned, tossing the mixture halfway through so it cooks evenly.
Meanwhile, heat the olive oil in a large saucepan over a medium heat, add the celery, carrot, shallot and rosemary, season with salt and pepper and sauté gently for 5 minutes until softened. Add the anchovy fillets (if using), lentils and mushrooms and cook for a further 2 minutes to allow the flavours to infuse. Add the tinned tomatoes, boiling water and sun-dried tomatoes, bring to a simmer and cook for 15 minutes until the liquid has reduced to a thicker sauce consistency. Add the roast aubergines, baby tomatoes and walnuts and simmer for 5 minutes until the puy lentils have cooked but still have a slight bite to them.
Sprinkle over the parsley and Parmesan and serve.
You could also use any pre-cooked lentils you like for added protein and fibre, or you can leave them out if you prefer a less substantial meal.