Preheat the oven to 425 degrees Fahrenheit.
Prepare your baking sheet by covering it with aluminum foil (this will prevent the acid in the tomatoes from damaging your baking sheet as they roast). Drizzle the baking sheet with two tablespoons of olive oil and brush it around so it coats the foil completely. Season liberally with half of the salt and freshly ground pepper. Remove the rosemary leaves from the woody stems and distribute evenly on the baking sheet. If you’d like a little heat in your soup, you can also add a sprinkle of red pepper flakes.
Cut the tomatoes in half and remove the cores. Use a small spoon or your thumbs to remove as many of the seeds as you can. Place them cut side down on the seasoned baking sheet.
Trim the top and bottom of the fennel bulb, then cut it in half lengthwise from top to bottom. Slice the halves into 4-5 wedges. Distribute the fennel on the baking sheet.
Place the garlic cloves under tomato halves on the baking sheet to prevent them from burning. Distribute the halved shallots, cut side down, amongst the other vegetables.
Drizzle with the remaining olive oil, and lightly season the tops of the vegetables with the rest of the salt and pepper. Roast for 45 minutes, keeping an eye on the pan to make sure nothing is burning. If anything does start to burn, pluck it off the pan with tongs and set aside in a bowl until the rest of the vegetables are done. A little char is okay.
After 45 minutes, the tomato skins should be cracked and everything should have a little bit of color. Make sure the fennel is roasted through and soft. Take the veggies out and let them rest on the baking sheet for five minutes (leave the oven on for the shrimp).