Preheat the oven to 200 degrees C. Place the eggplant slices in a single layer in a large roasting tin. Arrange the red and yellow capsicums and zucchini around the eggplants, placing them cut-sides up.
Brush the vegetables lightly with the oil. Scatter the garlic, anchovies and chopped rosemary over the vegetables, then season to taste. Roast the vegetables for 25–30 minutes.
Cover the vegetables with foil and roast for a further 10–15 minutes or until they are tender. Transfer the cooked vegetables to a large dish, layering them neatly, then drizzle the cooking juices over the top.
Whisk the dressing ingredients together and pour over the vegetables. Cover and leave to cool completely, then put the vegetable salad in the refrigerator to marinate for at least 4 hours.
Remove the salad from the refrigerator 1 hour before serving so it can return to room temperature.