Preheat your oven to 400°F (200°C). Lay a large baking sheet ready.
Slice the fennel bulbs thinly, using a sharp knife. Spread them evenly on the baking sheet, creating a bed for the salmon.
Drizzle one tablespoon of olive oil over the fennel slices, then sprinkle with thyme, salt, and pepper. Toss gently to coat all the slices well.
Create four spaces on the fennel layer and place the salmon fillets skin-side down, resting on the fennel.
Rub the salmon with lemon zest, squeeze lemon juice over each fillet, and drizzle the remaining olive oil on top. Season again with salt and pepper.
Scatter chopped dill over the salmon and fennel for fresh flavor.
Place the baking sheet in the oven and roast until the fennel is tender and caramelized around the edges, and the salmon is opaque and flakes easily, about 20–25 minutes.
Remove from oven and let rest for a couple of minutes. Serve warm, spooning fennel and juices over the flaky salmon.