Position a rack in the center of the oven and heat to 400 degrees F (375 degrees convection). Line a heavy-duty rimmed baking sheet with parchment paper (this prevents the oranges from sticking to the pan).
Trim the fronds from the fennel. Stand a bulb on its base on the cutting board and cut it in half lengthwise, cutting from the core end to the stem end. (If the bulb is more oblong than round, as some are, you will create two halves that are thinner and flatter rather than thicker and bulbous.) Use a paring knife to remove most of the core from each half (no need to get it all out). Lay each half flat on the cutting surface and cut crosswise into 1/4-inch-thick crescent-shaped slices. Toss onto the baking sheet and repeat with the second fennel bulb if you have two.
Cut the onion in half, cutting from root to stem end. Peel and remove the root end from both halves. Slice the onion halves crosswise into 1/4-inch-thick half-moons and add to the fennel.
Next, slice about 1 1/2 inches off each end of the orange and reserve (you'll use these later to squeeze over the salad). Stand the orange up on one cut end and cut it lengthwise in half, and then cut each half lengthwise in half again, leaving you with 4 pieces. Arrange each quarter with cut side down and slice crosswise into 1/4-inch-thick quarter-moon-shaped pieces.
Add the orange to the fennel and onion. Drizzle the olive oil on top and season well with salt and plenty of pepper. Toss to coat and arrange as best you can in an even layer on the baking sheet.
Roast, stirring with a spatula after 15 minutes to ensure even cooking and again every 10 minutes or so. The vegetables close to the edge of the pan will brown more quickly than those in the center, so stirring and then shaking the pan to restore an even layer helps everything cook at the same rate. Continue roasting until the vegetables and orange are tender and the outer edges are beginning to caramelize, 25 to 45 minutes.
Transfer to a serving dish (I like to use a wide, shallow bowl). Let cool for at least 15 minutes or to room temperature. Squeeze the juice from one of the reserved orange ends over the salad and taste. If it tastes a little flat, add a pinch of salt and squeeze the other orange piece over it. Drizzle with a little of your best olive oil and serve warm or at room temperature.