Roast the Vegetables
Preheat your oven to 475°F/240°C/220°C fan/gas mark 9.
Add the aubergines, courgettes, peppers and mushrooms to a large roasting tin. Drizzle 2 tbsp of the olive oil over and season generously with salt and pepper then toss to coat.
Roast on the top shelf of your oven for 35-45 minutes, stirring 2-3 times to make sure it roasts evenly. The vegetables should be cooked through and golden brown, the caramelisation helps to bring out the best possible flavour.
How long this takes will depend on the type of roasting tin you use. Using a narrow high sided tin will mean the vegetables are piled on top of each other so will steam rather than roasting so this will take longer than if you use a wide, low sided tin which allows the heat to distribute more evenly.
Make the Tomato Sauce
Meanwhile, make the tomato sauce. Heat the remaining olive oil in a large, high sided frying pan over medium heat and add the red onion.
Add a generous pinch of salt and cook, stirring occasionally, for 5-6 minutes, until softened and turning golden brown.
Add the garlic and cook, stirring, for 1 minute. Add the tins of plum tomatoes then fill one of the tins with water and add this to the pan.
Roughly break the plum tomatoes up with the back of a wooden spoon then add the sundried tomatoes, olives, tomato puree, oregano, cinnamon, chilli flakes and sugar.
Season with salt and pepper (keeping in mind that olives and feta are both salty) then stir everything together.
Bring to a simmer and cook for 20-25 minutes, until thickened slightly and the flavour has intensified.
Once the vegetables have roasted, stir these into the sauce and cook for a further 10 minutes. Taste and season with more salt and pepper if you like.
Make the Bechamel Sauce
Lower the oven to 350°F/180°C/160°C fan/gas mark 4. While the tomato sauce cooks, make the bechamel sauce.
Heat the butter in a large saucepan over medium heat until melted. Add the flour and cook, stirring, for 3-4 minutes.
Remove from the heat then very gradually add the milk, stirring thoroughly between each addition.
Return to a medium-high heat, bring to a gentle boil and cook, stirring regularly until thickened, 3-4 minutes. Add half the cheese, nutmeg and season with salt and pepper and stir to combine.
Cooking the flour in the butter is really important as it helps to ‘cook out’ the flour, meaning you won’t be left with a sauce that has a floury, grainy texture.
Adding the milk very gradually, particularly at the beginning, will ensure that you don’t end up with a lumpy sauce. After about half of the milk is added you can start adding it in larger additions.
Bake the Lasagne
When everything is ready, spread half of the tomato and roasted vegetable mixture over the base of a roughly 22 x 30 cm baking dish.
Scatter over a third of the crumbled feta then top with a layer of lasagne sheets. You will probably need to cut some lasagne sheets to make it fit.
Top with the remaining tomato sauce and another third of the feta, followed by another layer of lasagne sheets.
Top this with the cheesy bechamel sauce and spread to cover the lasagne sheets. Scatter over the remaining feta and pecorino then bake on the middle shelf of your oven for 50 mins - 1 hour until bubbling, golden brown on top. A skewer going all the way through doesn’t meet any resistance from the lasagne sheets, this means they are cooked.
Leave to stand at for at least 15 minutes before serving, this will make it much easier to slice and the flavours will be even better once it has cooled slightly.
Don’t worry if there are edges of the lasagne sheets poking out, these will become deliciously crispy edges.