Step 1Combine the capers and anchovies in a bowl or in the jar of a regular or immersion blender. Process until the ingredients are chopped and mixed. Add the olives and process until they are roughly chopped. Gradually add the olive oil to make a fairly smooth puree. Stir in the lemon zest and season to taste with fresh pepper. Scrape the mixture out into a small shallow bowl.
Step 2Trim the fennel bulbs and cut them lengthwise into quarters. Pull out the centers to separate the inner layers and make pieces that can be used for dipping. Cut the outer layers lengthwise into smaller pieces.
Step 3To serve, place the bowl of tapenade on a small platter and arrange the fennel pieces around it.